I mostly trade the ES. From time to time I also trade and (way less than before) the NQ, and I don't see less activity. What I see is more "slicing of big orders", especialy since available softwares to the mass like, Jigsaw, Bookmap, and order flow software type, are availlable. Leaving a smaller footprint is in my opninion smarter for the big guys. For the rest of us, more small orders on the markets is less big jumps and less slippage. I actually almost always go long with the ES on the ask and when I sell short it is on the bid most of the time: This is only possible because of the big volume of the front month ES contracts. My exits are on limits (about 70%) or regular market orders (about 30%). From the CME: Q1 2025 volume and OI Record ADV of 8M futures and options contracts, +17% vs. Q1 2024 Equity Index futures: Volume: 6.5M ADV (+26% vs. Q1-2024) OI: 5.4M contracts per day (+5% vs Q1 2024)
Oh I've always scalped, 1:1 RR, still works, never managed to get a trailing strategy to work. Not saying it doesn't, just never worked for me. I like the high winning percentage 1:1 with smallish targets - eg 3 points in ES, 4 points in BOBL etc, offer. Plus, small moves are there every day even on days when nothing is going on, homeruns or momentum days are really more the exception, going for that you'll have huge up days, but also huge down days when nothing is happening, while the scalper just makes money every day if he trades enough RT's.
Volume is there all right, but it doesn't translate into liquidity per trade, as the CME's liquidity tool shows anything above 20 lots per trade and you're profits on a 3 point target gets cut in half due to slippage. 20 lots !!! https://www.cmegroup.com/tools-information/cme-liquidity-tool.html#cmeLiquidityContainer A 4500 lot trade on the BOBL today was entered and exited with a 1 point profit (smallest price increment change there), so truly liquid is that market.
You are not comparing like for like. BOLB had range of just 40 ticks yesterday and has a notional value of about $100K USD. ES these days can move 500+ ticks in one day has a notional value of $250K USD If the BOBL was moving 500+ ticks per day and had 2.5X the current notional it would be just 100 lots or less deep as well. And around major new events, the depth in the Treasury futures markets can quickly thin out.
Hi Businessman thats certainly a valid point. But even taking volatility into consideration... Jan 2024 ES had an 8 day ATR of roundabout 50 points / day. Per the CME's liquidity tool a hundred lot position incurred slippage on entry and exit of 1.5 ticks. https://www.cmegroup.com/tools-information/cme-liquidity-tool.html#cmeLiquidityContainer By December 2024 8 day ATR had gone down to 44 points a day at its lowest. BUT trading the same 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 x $12.5 x 2 for the RT = $ 150 ?!?!
Based on my rough calculations (taking into account Notional contract value and the current tick range) ES should have about 1/40th the depth at each level compared to the BOBL. This is approximatly what we see. If the ES notional value were to get cut in more than half and its range contracted to 40 ticks (10pts) per day like the BOBL. Then ES would have approximately the same order book depth as BOBL. In your opening post you reference snake oil vendor Don Miller say he would put on 500 lot to 1000 lot trades. That was possible in the old days when the notional value was much less than now and the ranges were much smaller than now. That kind of depth is never going to return not unless the ES goes back to the 1000 index value level and the daily ranges contract back to 10pts.
Good Evening HappyDays, Thank you! Yes, I will remember all my buddies here at ET forum website. ET forum is the best place to learn how to trade the ES futures market. Everything, I learned about trading come from ET forum. So owe this website ALOT. Thank you owner of ET website.
100 ES Contracts in a market order is trading insanity. Eliminate slippage by buying the bid and selling the ask. This not only eliminates slippage but it gives you the market maker advantage. Trading a reasonable position and all you have to be is not to have been absolutely perfect in your entry. All it takes is a tick movement against your preferred market direction and sometimes it does not even take that as sellers might be selling into your bid without moving the market. Occasional you will have to cancel and resubmit but that is trading.