Usually trade interest rate futures but had a look at the ES as that's been moving quite a bit these days. Checked time and sales several times the last couple weeks. Saw very very few 100 lot trades. As of writing this right now, the ES has had ONE SINGLE trade with a size of 116 contracts. Not many years ago and time and sales would have been full of 100 lot trades, and many many larger trade sizes as well. Don Miller would put on trades of sthg like 500 - 1000 contracts if I remember right, going for tiny targets many many times a day. What happened to those trade sizes ? Had a look at the CME's liquidity / cost of putting on trades vs size tool. https://www.cmegroup.com/tools-information/cme-liquidity-tool.html#cmeLiquidityContainer What that shows is actually pretty shocking. Over the last year, Jan - Dec, trading one hundred lots, the cost of entering AND exiting would have gone from 1.5 ticks all the way up to a mind boggling almost six ticks ?!?! So putting on a 3 point scalp would leave you breakeven... Entry cost 6 X 12.5 / contract = $ 75 Exit cost 6 X 12.5 / contract = $ 75 Total costs = $ 150 / contract Same as what you were targeting as a win. What on earth happened to liquidity in the ES that used to be one of the most liquid contracts in the world ? If the option of compounding your account up effectively doesn't exist any more something has gone pretty wrong somewhere I'd say. Anybody know what happened over the last year that has decreased liquidity so dramatically ? Thanks
Average volume is the same as last year. Strats are developed to break trades down to multi/smaller tranches.
This question gets asked every time there is a big increase in volatility and daily ranges, last time someone asked this was during the 2022 bear . The order book is thinner and more spread out due to the wider daily ranges over the last couple of months. So less chances of matching 100 lots. 1 million in volume is spread over 200 points instead of 50, or whatever the exact numbers are. 20 years ago when the index was only one 5th of todays value meant you could often buy 500 lots at one level. Especially in the low volatile years like 2005. When volatility and ranges are small, resting orders in the book are all in a small range. When the volatility and ranges expand then the orders in the book get spread out and thin out. Back then the ES would move just 5 to 20 points in a whole day, with 20 points being a big day.
Small but important comment below, then I am out of here. Like I have preached over and over in my journal. "Grab what the market gives you, trade small size, dial down TF for actual trading while concurrently keeping an eye on larger TFs for clearer perspective on the larger context, maintain a high win rate, know what to do when wrong, know how to re-coup losses fast, understand the market cycle and price patterns and develop the ability to identify them and know what to do with them in all TFs, and finally rely on FOT to make the profit quicker" If you don't understand what FOT means or don't understand how these other things work that are mentioned above, then take a look at my journal. And watch my SIM videos listed in my journal. I am selling nothing, so it won't cost you but your time to delve into the concepts. And remember you can lose all your money and more trading the markets and the things shown in my journal and the videos I made posted therein may very well be different than results in real trading and are no guarantee of profits. You have been warned.
the pit was dead for at least 10 years prior to closing. last 5 years its market was wider than eminis
No..I think he relating this question to the extremely low volume pumps without any news. Its very concerning. ES Market doesnt look legit right now. There was always very large liquidity in big movements. But now, as a move transpires, liquidity is extremely low, spreads wide, fills are not good. Very similar to a penny stock environment.