What is, ballpark, the largest number of ES contracts a single person could enter for quickest execution? I've made it up to 30, but I'd like to try for more. I also realize this is largely dependent upon my brokerage. But if bigger means significantly slower total execution, which is what I fear, then I won't do it. However, I have a plan B question. Plan B - In lieu of a single, large order for 50 contracts, would a person be better off doing two trades at 25? Hypothetical is perhaps I have an assistant execute their order of 20-25 at the same time - is this more plausible? All I'm looking for here is honest feedback and appreciate the wisdom and experience. Thanks!
Looking at ES T&S I just saw 521 and 356 contracts go by. Depending on the inside bid/ask size an order of 100 to 500 contacts can be done instantly without slippage past the 1 tick bid/offer spread.
don't trade es but was surprised by the D es volume traded Fri Mar 14/08 o/h/l/c = 131450 133600 127550 129300 -22.25 Volume 5,225,586 5225586 / 24hrs = 217,733 - per hr / 60mins = 3,629 - per min / 60secs = 60 - per sec using an 'avergage' D V of 2,000,000 - 2000000 / 24h = 83,333 - per hr / 60m = 1,388 - per min / 60s = 23 - per sec my question: who's taking the other side of the order ?
If you're intra-day trading the ES, you can easily get filled at the market on usually more than 500 contracts. Constantly I see bids/asks of 500, so if you send a limit in at that bid/ask price (bid for selling immediately/ask for buying immediately), you can easily get filled.
Regular Trading Hours. I think what he was alluding to is that based on the numbers you provided in your research, the contracts per sec. /min. is probably a higher figure because there are more contracts traded during RTH than after hours, presumably when the OP wishes to trade.