S&P E-Mini Order Question

Discussion in 'Order Execution' started by toucanmill, May 15, 2008.

  1. 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.

  2. ES can handle 50 contracts very easily without any problem.
    You can see Time and Sales on ES.
  3. 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.
  4. 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 ?
  5. smaller players trading 1-5 contracts
  6. Tums


    If you don't know how to look at T&S and the DOM, you must be papertrading.
  7. Tums


    24hrs is not a fair divider. You have to look at RTH vol vs 24hrs vol.
  8. cszulc


    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.
  9. Tums: what is 'RTH vol' ?
  10. Big AAPL

    Big AAPL

    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.
    #10     May 16, 2008