How liquid is the es

billygoat1234 · Jan 15, 2011

y q is simple , for i.e on friday i picked up 2.5 points.. using 2 contacts i have a method that seems to be consistant... however i understand risk/money management but hypothetically would i cont. to get the same results if i traded 10,20, or 30 contacts ??? . i do not scale or any of that pre-set loss and profit and thats it

SanMiguel · Jan 15, 2011

billygoat1234 said:
y q is simple , for i.e on friday i picked up 2.5 points.. using 2 contacts i have a method that seems to be consistant... however i understand risk/money management but hypothetically would i cont. to get the same results if i traded 10,20, or 30 contacts ??? . i do not scale or any of that pre-set loss and profit and thats it

Very liquid.
GS trade about 500 contracts (I might be wrong but that might even be 500 big contracts not the minis) and that might take a few seconds to fill.
You'll have no trouble getting 40 filled, probably not even 100.

donaldduke · Jan 15, 2011

billygoat1234 said:
y q is simple , for i.e on friday i picked up 2.5 points.. using 2 contacts i have a method that seems to be consistant... however i understand risk/money management but hypothetically would i cont. to get the same results if i traded 10,20, or 30 contacts ??? . i do not scale or any of that pre-set loss and profit and thats it

10,20, or 30 contacts is peanuts.

100,200 or 300 is no problem either.. however 3000 in one go is probably too much.. even for the mighty ES.

However if are you wrong about the direction the ES is moving in, then you can have as much you want

intradaybill · Jan 16, 2011

donaldduke said:
However if are you wrong about the direction the ES is moving in, then you can have as much you want

DionysusToast · Jan 16, 2011

Apart from times just prior to news, there are generally 400-1500 contracts on the inside bid/ask.
Go up 1 level & this is normally 1400-2000.

In terms of big trades - 200-500 isn't particularly large, I sit up & take notice when trades of 800-1200 contracts go through.

I don't often see single trades of above 1500 going through.

Note that the regular Time & Sales shows large trades split because it's essentially reporting prints as the match between a limit order & the market order that hit it. It will display 1 print for every limit order a large trade printed against. So the fact you don't see many trades above 50 in the Time & Sales is somewhat misleading.

30 contracts will be fine.

billygoat1234 · Jan 16, 2011

yeah thanks for your replies , yes i reffering to the emini.. i just heard that you may not get the same results if trading alot of contracts and i was just wondering how many that would be , maybe in other indices or something it might..but i dont plan on going higher then 30 i dont think no matter what success im having to much stress, but thanks

anup · Apr 26, 2011

In my observation, time of the day plays an important role in it. In first 2 hours of market open (1430 to 1630 london time), the size of few 100s is not a problem, but as market goes slow during lunch hours, bigger size might not get best fill. Thats is when one would need better approach to enter by accumulating near targeted average price level and exiting in smaller quantities.

LiveTradingZone · Apr 26, 2011

ES is one of the most liquid...you will have no problem filling 100 contracts if you chose.

trader_dante · Apr 26, 2011

Here's a somewhat unrelated tip: If you ever see 69 print on the T&S, I'd suggest you follow it.

new_trader · Apr 26, 2011

billygoat1234 said:
yeah thanks for your replies , yes i reffering to the emini.. i just heard that you may not get the same results if trading alot of contracts and i was just wondering how many that would be , maybe in other indices or something it might..but i dont plan on going higher then 30 i dont think no matter what success im having to much stress, but thanks

Initial Observations (E-mini S&P 500)
• Order quantities between six and 49 contracts are
being executed with lower market impact than
orders of five or fewer contracts
• Approximately 90 percent of all orders of fewer than
50 contracts are being executed in 50 milliseconds
or less.

Ref:http://www.cmegroup.com/trading/equity-index/files/EQ221OrderAnalysis0309.pdf

new_trader · Apr 26, 2011

donaldduke said:
10,20, or 30 contacts is peanuts.

100,200 or 300 is no problem either.. however 3000 in one go is probably too much.. even for the mighty ES.

However if are you wrong about the direction the ES is moving in, then you can have as much you want

From the FAQ:

An order for any quantity may be accepted for E-mini outright futures.
However, orders exceeding a specified number of contracts as indicated below must be entered on the CME Globex system as multiple entries, each of which must not exceed the specified number of contracts.
E-mini S&P 500: 2,000 for outrights and 5,000 for calendar spreads.

moksha99 · May 5, 2011

Does anybody try and arbitrage between BIg S&P and E mini S&P?
at semi professional level

How liquid is the es

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