Is there any advantage to calculating YM/ES index in real time from the respective index components to identify market turns a little faster? Or, to only track a few index leaders? How fast does the exchange calculate real time YM and ES? I am sure someone here has been over this ground already. Does anyone bother to do this? Thanks,
I used to. Until 2002 or so there was an edge there although post-commissions it was a SKINNY edge. Bot programs blew it out. By the time you see futures are cheap two levels of offers are being auto-arbed into oblivion. OTOH, knowledge of whether key stocks are ripping along with futures or stalling is an edge too. Personally I'm put off by any strat that involves me giving the CME and an FCM 90% of my gross........