spread on the Dow e-mini

Discussion in 'Index Futures' started by Ditch, May 20, 2003.

  1. Ditch


    I've been following the DOW e-mini the last couple of days. It moves pretty much in sync with the ES imo. Correct me if i'm but the wrong , but the spread seems to be 1 tick ($5) most of the time. This would put it in a clear advantage above the ES, especially when you're scalping. Anybody care to share some thoughts/experiences on this? Thanks.
  2. Tea


    The above is from the CBOT web site (I posted this in another thread).

    The S&P Emini easily has the liquidity to trade in .10 tick size, just like the pit based contract instead of the current .25 tick size.

    If the Dow emini trades in .10 tick size - then that is certainly an advantage for them. I may have to relook at the dow.
  3. Spread on YM is anything from 1 some of the time - often 2, 3 reasonably frequently but not for more than maybe 10 seconds or so at a time, and sometimes can even be 4 or 5.

    Usually it is either 1 or 2 points. the real advantage is not that the spread is less, but that it moves in 1 point increments (equivalent 1/10ths for ES) instead of .25 increments.

  4. When I place a market order on a 3 lot or smaller, I usually get filled within 2 points away from the last/current.

    Does anybody else have the same experience?
  5. Yes.

    1 to 2 points slippage seems normal at the moment. Do you use Ib as well - there is a thread about it going slow which could be a factor...

  6. I don't know, but everyone keeps saying there is only 1 or two points slippage in the YM. Considering the fairly thin size there, this seems an amazing claim. Maybe its all the folks like me that just look and don't actually trade the thing.

    YM moves in chunks of 3-5 points all the time. Don't believe the hype.
  7. I can only speak for myself and my usual slippage trading YM is 1 or 2 points. I did have 1 trade with 4 points, but that was mainly due to slow feed problems.

    Also, YM mostly trades through very smoothly indeed, and not in the 3-5 points chunks suggested (or at least not that I've seen trading it).

    Yes, there isn't much size in there yet, so how liquid it is depends on what size you are trading. Anything above maybe 5 contracts and liquidity could well be a problem, and above 3 slippage would likely be larger.

    I only trade a couple of contracts there at the moment...
    Just my 10 cents...

  8. Yes, the YM does trade smoothly most of the time for small size. But so does the ES, where theres a usially huge bid/offer at .25..

    If you are talking about losing only 1 point when the market is moving fast, then I don't see that. If there's real movement if the market, then the YM will move 5 or more points in a single tick, before you have any chance to respond. Hey, if that was not the case then you could 'arb' the market moves , losing almost nothing when wrong and makin good money when right.

    Maybe it's the Holy Grail and I don't get it.

    PS I eyballed the bids for a portion of todays action, which was not very volitile and yes, the moves , with size as small as 1 lot, are fairly smooth in this small sample.. But why is that an edge? It works against you on the exit as you are less likely to sell at an 'extreme' price on the way out. I think folks just feel better if they lose a measly dow point or two than an ES tick.
  9. That's a far cry from

    "YM moves in chunks of 3-5 points all the time."

    Incidentally, when the market is moving fast and size on ES collapses, that also lurches 2 or 3 ticks before you could possible catch it. NQ can be even worse. The only rason ES actually touches all points in between is that there are so many orders in that not everyone is quick enough to remove them when that kind of movement occurs. When ES is moving, not all the size by a long way is being traded through, much of it is being removed and added at a different level, or even reversed. A lot of the size in the depth can be phantom size which will dissappear as soon as there is a dnager of it being filled. If you look closely at the T&S in combination with the market depth you will see that happening very often.

    What it really comes down to is horses for courses. If you can read YM better and trade it well, then it can be equally rewarding if you are trading small size. If you are trading large size, then slippage on orders will be a major issue because as yet, there is not enough size and liquidity in the market to manage large orders, unlike ES and NQ

  10. Ditch


    I think for the small trader, like myself, the YM is at present more attractive than NQ/ES. When the market has decent momentum the tick size isn't an issue. The reason i started looking at the Dow, was that when the market stalls the tick size becomes an factor when you're scalping for 1/2 pts on the Es or 3/4 points on the NQ. Especially on the Nq i found it really hard to get above BE, because that tends to freeze completely during congestion. For me the question was does the YM move smooth through points or does it move in steps of several points. Everybody thanks for sharing your take on this.
    #10     May 23, 2003