Trading large volume on the ES

Discussion in 'Index Futures' started by BoyBrutus, Jun 10, 2006.

  1. Some traders here have said that it is difficult to trade large volume on the ES even though you see 1k blocks getting traded all the time, why is this?

    Can you trust what you see on level 2. Can you hit what you see with a market order without them pulling bids.

    Also I read Globex matches 30 contracts or less, so what happens if you do 31? I noticed someone mention they watch for blocks above 31 what is the significance of this besides being less retail traders.

    Thank you for your responses
  2. Anyone?
  3. Surdo


    With the exception of a market meltdown/up during Economic announcements, you can move 500 ES contracts within two ticks most the time during RTH.

    I know nothing about the GLOBEX matching system other than Globex is generally a liquid marketplace.
  4. How many contracts can you move on average during RTH on the Russell or the YM within 2 ticks? Thanks
  5. lwlee


    For the Russell, the bid/ask size will be less 10 contracts when the markets is quiet. Active times you should be able to fill 20-30 contracts instantaneously.
  6. Explain this! I think your info is false.
  7. romik


    "An E-Mini futures order for 30 contracts or fewer must be traded on GLOBEX®2. During pit trading hours, orders for 31 or more contracts must be traded via open outcry on an All-or-None (AON) basis only."


    EDIT: I've gone up to 30 lots per trade with no problem using a market order, .25 slippage/instantaneous fill
  8. Is the 30 contract limit still in place?

    Googling revealed pages stating this that were from the when
    the E-Minis were first introduced, ie almost 10 years ago.

    Also i dont think its called GLOBEX2 anymore.
  9. romik


    that could be the case, I would only monitor T&S unfiltered after/pre-market
  10. jim c

    jim c

    It used to be that you could only execute 30 minis at a whack. This changed aprx four years ago. It has changed a couple different time in the past few years. Im not for sure but I think the limit is around 1500 per trade now. Jim
    #10     Jun 15, 2006