the ER2 - some questions/debate...long..

Discussion in 'Index Futures' started by adamcholeva, Nov 23, 2005.

  1. a little background might help:

    I'm managing a private fund for 7 years running (last 3 as manager), where we're only 5 traders including myself. Until last year we were solely focusing on european securities and fx for trading purposes, and only held us equities as longer-term investments. Only two of us are dedicated day- traders (our fx trader on occassion also day-trades but only when she feels the mkt. cries for it, otherwise she's very swing orientated - her main pair is euro/chf which says it all I gather).

    Besides trading euro stocks on an intra-day basis, we also trade a couple of euro futs. very actively (schatz, bubl, dax, cac 40, ftse). Then sometime ultimo 2004, we heard about the CME ecm/ 106R program. - i.e. we could now get round-turns for cme mini products for usd 1.40 all inclusive.

    As we are eurex members and both at least within the range of what you'd call scalpers (i.e. commission schemes are paramount for our trading-style), that initiative from the CME was key to us, as it actually made it a viable option for us to intra-day trade us index futs.

    We held a meeting, and decided to sign up for the membership, and that I was going to undertake the business of testing the waters trading small size for 30 trading days. During that time I traded about 80 % es and 20 % nq. As the first testing period looked promising, we decided to give this a real shot - and after another quarter we settled upon making us index futures a considerable part of our fund-management. As the (continental)pm times suited me well, we decided to make this my absolute main area of daily attention/ where I'd put my hours in (love a whole session with pre- and post-mkt. , but I'm not a 20 hours a day trading kind type.

    I continued trading es as my primary instrument and some nq too. Have been doing this until now, and laying all vanity aside, with considerable success. Now, from time to time I made some minor er2 and ym plays for exercise, but never more than 2-5 % of our total us future business.

    That is, until a month ago. After analyzing stats I found that I proportionally made about 30 % more trading er2 than es and nq (results for ym was ok too (about + 10 %), but because we don't hold membership at the CBOT it wasn't a real option for now.

    So I decided to step up to the plate and increase size and involvement in the er2. I first started trading a max of 10 lots, then 15, and the last fortnite swinging 25 lots as max.

    What I'm curious about is of-course other traders experiece with tading size on the er2. As of now, I find that I can still somewhat easily swing 25 lots during the morning and evening session. Very few instances of slippage and when happening it has been within ticks. I have of-course consulted fellow traders and had talks with us brokers, but I'd greatly appreciate your opinion.

    So, what's your experience with trading er2 in moderate size like we do now, as well as size ranging from 75-250 lots. Will you often sweep the book then, and how bad can the slippage become in fast markets (especially when it comes to stop-limit orders - as of now I got my limit at 10 ticks but have only experienced a slippage of 3 ticks once, and a couple of one tics. Have I just been plain lucky?

    Looking forward to your responses,

  2. can you translate this into EST hours please ?

    as you probably know for US equities the regular
    trading hours are 9:30 am - 4 pm EST ( or 16:00 EST ) We do have an evening session but it is after hours with much less volume then day session.

    -As of now, I find that I can still somewhat easily swing 25 lots during the morning and evening session-

  3. In honor of the incredible redundancy of words in this post, I'd like to say that I've found I can easily trade up to three lots of ER2 with no execution problems.

    Just teasing in good fun. :D
  4. As the "...morning" and "...evening" sessions are juxtaposed wth me refering to increased volume, it should be clear that I'm talking about the am and pm session during rth " you probably know" - I'm from the continent for gods sake, so sometimes I think of the us afternoon as the evening.


  5. How is it Adam, that you have managed money (for years now) and traded for so long, but apparently you cannot read market depth off the screen?

    Also the Russell trades on the Merc (Chicago Mercantile Exchange). They want to encourage traders to execute in that market. You could go to that website or call them and they will be glad to answer your questions.

    In addition to market depth, you also need to know that order type, front end, and time of day will determine whether you will get filled and how much slippage you will experience. Of course a professional knows this, because it is true of all markets.

    You should realize that most traders here will never execute a 25 lot trade on this or any index product. They don't have the account size. They don't have the experience, and most importantly, they don't have an edge or the guts to do it. You will find plenty of fantasy traders who will advise you however, and tell you how easy it is.

    Good luck and welcome to the Merc