Discussion in 'Index Futures' started by Sarasota, Feb 1, 2002.
Does anyone here trade large lots, say 100 and above? What is the liquidity like? Thanks.
I don't trade that large of size myself but I have seen people who have. 25 lots are generally filled almost instantly within 1-2 ticks using market orders on J-Trader. Even orders for 50 contracts get quick executions like that. Haven't yet seen anyone place an order for 100 contracts.
I think trading large lots is problematic, since if you are taken out it is 95% an pit trader against you (locals) who is very likely to be better than most of us.
forgot: But generally no problem, in my times and sales list there are many prints > 50 or 100 contracts. (Say 3 per minute)
guys, thank you for the replies.
Sarasota; sachabr makes a good point. Size in mini will typically get filled by a pit local with a hand held Globex terminal after the pit has turned. Thus you're invariably giving up an edge. No big deal since size always must make a concession.(That's what makes markets move, eh). However a more distinct disadvantage for a size ES trader is commissions. I think I mentioned this to you on a previous thread, that you're going to be hard pressed to pay less per 5 ES then you would on 1 SP. 100 minis would probably cost about $100 more in juice then 20 SP. In addition the pit trades in dimes as opposed to the screens .25 allowing the rare fill on the inside. Granted it's apparent that at some point Globex will overtake the pit, but until then, trade size where YOU have the best advantage.
Yes Pabst, I do remember your commission post. Thank you.
The big problem with commissions is a result of the policy of CME. They charge IB $2 exchange fees per E-Mini trade whilst pit traders pay only $0.80 fees per "big" contract. I wonder how long this form of monopol is still being held.
Sarasota; sachabr makes a good point. Size in mini will typically get filled by a pit local with a hand held Globex terminal after the pit has turned. Thus you're invariably giving up an edge. No big deal since size always must make a concession.(That's what makes markets move, eh). However a more distinct disadvantage for a size ES trader is commissions.
Size in the minis is not filled by a pit broker..... there is no pit. Since they have installed globex machines around the pit, the mini is actually leading the big contract. As for commissions, Big S&P traders are used to seeing a point in slippage. Imagine your 20 lot losing $250 per contract in slippage.
Trader777: Everybode here knows that there is no "Mini-Pit" !. But the pit traders (for the _BIG_ contracts) will check globex books for arbitrage opportunities when the market turns.
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