Good Morning Illini Trader, Easier to use Market Orders and get it over with. Worrying about slippage is a waste of time and energy. The goal is to make a lot of money, not overanalyzed trading. Trading is easy.
Using market orders is practically bending over asking to get raped. Use limit orders to minimize the rapage slippage spread scalping on you
Nominal index values for the e-mini S&P500 have increased substantially from around 1000 in 2010 to 5500 in 2025. In 2010, one tick ($12.50) represented a 0.025% change (0,25 / 1000) in the index value, with a notional value per contract of 1000 × $50 = $50 000. So, with a buying power of $500K you could hold 10 contracts. In 2025, one tick is only a 0.0045% (0,25 / 5500) change in the index, with a notional value per contract of 5500 × $50 = $275 000. With a buying power of $500K, you can't even hold 2 contracts. Additionally, we have since gotten the e-micro S&P 500 where some volume might have moved. In the last few weeks the market's been in insane mode, so I wouldn't make any conclusions based on those anyway.
https://www.financemagnates.com/ins...jump-17-as-q1-revenue-hits-record-16-billion/ Trading Activity Across Asset Classes While foreign exchange showed strong growth, other asset classes also performed well: Interest rates: 15.0 million contracts per day, up from 13.8 million in Q1 2024 Equity indexes: 8.0 million contracts per day, up from 6.9 million Energy: 2.9 million contracts per day, up from 2.4 million Agricultural commodities: 2.0 million contracts per day, up from 1.6 million Metals: 732,000 contracts per day, up from 675,000
Nope for some reason thats never been all that liquid despite Germany being the largest economy in the European Union. What I do look at and trade besides BUND, BOBL and 10ynote interest rates is the Eurostoxx. Another exremely liquid market. Has an 8 day ATR at this time of a 130 points a day, makes many many 5 point moves worth € 50 per contract all day and every day, at a 1000 contracts thats € 50 k per move, margin you'd need for that at IB is 5K for one contract. And per time and sales has had 41 trades today with lot sizes above 1000. Couple of 2000 lot trades. 2 - 4000 !!! - lot trades, even they didn't significantly move the market. Beautiful market you can really keep scaling up.
Lol just checked the charts, the last 4000 lot order at 18:11 CET in the Eurostoxx moved the market ONE SINGLE POINT. One point being the smallest price increment in the Eurostoxx.
Yesterday Eurostoxx moved just 50 ticks the whole day with $60,000 notional per contract. So the current Eurostoxx depth is similar to the ES depth from 20 years ago. (When ES had a similar notional and tick range) When the Eurostoxx reaches 25000 index value. It would be just as thin as ES is today. Interest rate futures depth doesn't thin over time, because the price value moves in a range, won't go up 10x in the future like stocks index futures eventually will.
Only thing to be honest I'm interested in is a market that moves, AND has liquidity to scale. As long as I've looked at Bund and Eurostoxx, 25years lol, they have always had good range per day, AND outstanding liquidity. Bund admittedly moving more than Eurostoxx which has fallen asleep at times. Going back to 2020 lowest daily ATR for EStoxx is sthg like 35 points a day, which still means many possible single 5 point scalps. Bund, lowest daily ATR last 5 years, is 50 points. AND slippage was never an issue due to extreme liquidity.
Five point move in ES = $250 Five point move in Eurostoxx 50 = $55 So you have to trade 5 times as many contracts in Eurostoxx to make the same profit. And if you use a limit order for taking profit on a 5 point target it is a bit more likely to get executed when trading ES vs Eurostoxx because of the smaller tick size and thinner market.
liquidity... https://www.cmegroup.com/tools-information/cme-liquidity-tool.html#cmeLiquidityContainer a TEN LOT in the ES slips you 55 bucks in eurostoxx you can trade a 1000 contracts with no slippage why would you want to trade if you can not scale...