S&P E mini fills

Discussion in 'Index Futures' started by trade555, Nov 17, 2001.

  1. Can any body give me a idea on how fast the fills are on the GLOBEX trading in a fast moving market and how well stops work. I thinking about using IB for futures. Also are the fills on the long side the same as the short side comparing the time it takes to get a market fill.
  2. tntneo

    tntneo Moderator

    long side, short side is the same. it does not matter.
    fast market you will be filled very quickly too, 1 sec, 2 tops. problem in a fast market is the price you ask. that's the only delay you can get.. if you are not in the market you wait.
    market orders don't have the problem of course, but if you enter a fast market because one or both sides of the market vanished, you may pay dearly your click on the 'market' tab.

    S&P mini has so much volume, unless you trade many contracts slippage will be minimum.
  3. neo: how many are many contracts? 50, 100?
  4. tymjr


    trade: “…give me a idea how fast the fills are on GLOBEX in a fast market...”

    If you limit into a fast market you will certainly reduce your chances of getting a fill, particularly before the strongest moves. If you use a resting buy/sell stop limit order with some breathing room, then your chances improve but expect slippage. If you use a buy/sell stop then you're certain to be filled, but you should expect slippage that can be significant under certain conditions.

    “…and how well stops work...”

    I use J-Trader and the stop orders work very well, for the most part. Be aware that in a “fast” market, such as a news driven event, buy/sell stops and regular market orders can really hurt. If the market gets out of hand, you can be hit for $400 or more per contract in the blink of an eye.

    “I thinking about using IB for futures.”

    Please see the following post:


    Keep in mind that the use of buy/sell stops will help to mitigate the apparent differences between platforms.
  5. Fills with Globex (through IB) are very fast, 1 to 2 seconds. Long and short times are the same. Stops are very quick. If the market is moving fast, the fill time can increase for a market order to 5-10 seconds, although limits will execute fine if it hits your price. Stops in a fast market can really be a problem -- the stop will hit but by the time the stop market order gets filled, the price can be dramatically different, even though it just a second or two later. Fortunently, however, these are rare occurences. Unlike with tymjr, IB has been very reliable for me with the ES.
  6. neo_hr


    Could anyone explain how exactly does ES move ? And what is this tick? I found like at least three different explanations so heres mine (please correct me before I throw some dough outside the window) :

    -ES mini moves 1 point when SP500 moves .01 point
    -this 1 point is 12.5$ ??! So basically you win loose money by 12$ or...??
    -then I read somewhere that it moves 2$ ... :confused: :confused:
  7. WarEagle

    WarEagle Moderator


    The S&P E-mini is 1/5th the size of the full S&P 500 futures contract. A 1 point move in the big futures is $250 while the same move in the mini is $50. The minimum increment the big futures can move is .10 which would be worth $250 * .10 = $25. The minimum move in the mini is .25 points which would be $50 * .25 = $12.50.

  8. The ES and full S&P 500 actually move in tandem. The difference is the contract amount. The ES is one-fifth (1/5) that value of the full S&P contract. Meaning, you can buy 1 ES contract for less than 1 full S&P contract.
  9. dottom


    In tandem, yes, but exactly no. You will get small divergences between the ES and SP. There are plenty of arbs so the difference will never be a lot, but if you take a look at any intraday chart, you'll see support/resistance and breakouts that occur on one chart, but not on the other. This is the nature of the ES because of the tick size and difference between computer exchange and open outcry, you will get slightly different results if you apply the same S/R or breakout techniques on intraday charts.

  10. Is the Nasdaq 100 e-mini also 1/5th the size of the full Naz 100
    Futures? And how much is a 1 point move worth in these?

    And what are the minimum size increments of both?
    #10     Nov 23, 2001