YM liquidity question...

Discussion in 'Strategy Development' started by CFerret, Dec 6, 2006.

  1. Hello everyone -

    I've got a question to experienced YM traders:

    what size can it be traded intraday to not get too much of a slippage (more than 1 tick)?

    Thanks in advance!
  2. AaronCapps

    AaronCapps Global Futures

    I get a lot of questions like this for varying markets. For electronic markets, the easiest way to know is to pull up a depth or market window from your trading platform. It will show you how many working limit orders are there. That gives you an idea of how many contracts will have to be filled at that specific price before the market moves.

    With side by side(bonds) and fungible markets(big dow vs mini dow) there can be more liquidity lurking in the shadows. There are arbers waiting on the side lines. If they see the spread get out of whack they will come in and throw size at it till it gets back to normal.
  3. Thanks Aaron,

    I watch ask size/bid size and depth and can roughly estimate average liquidity, but it would also be great to hear from people who actively trade this instrument how it goes in reality...

    I currently trade YM and grow quite fast, so it would be good to know when approximately I should start thinking of adapting my method to deeper markets like ES or ESTX.
  4. AaronCapps

    AaronCapps Global Futures

    are you day trading or position trading?
  5. Day trading. Trades last average 5-15 min. Stops are around 5-6 ticks most of the time.
  6. Surdo


    Do you trade larger than 50 lots?
  7. AaronCapps

    AaronCapps Global Futures

    i think you best bet will be looking at the depth or market at the time of your trade, that is the most you could take at that time and it will change during the day.

    When the CBOT and CME merge and Dow moves to Globex and becomes a product that can be cross margined against ES or ER, i think that might add a little more volume into it.

    Best of luck trading
  8. No, I don't. Far from that yet. But will and prefer to think in advance. :)
  9. Didn't think about it. It's good news for me, probably I won't have to change my trading habits for longer time. :)

    Thanks again for advices!

  10. clacy


    I guess that will be a good problem to deal with in the future:)
    #10     Dec 9, 2006