Pit Outcry Vs. electronic -about slippage & when does the bulk of the trading occur

[JumpOff]

Pit Outcry Vs. electronic -about slippage & when does the bulk of the trading occur

I have a question about the different kinds of contracts and how they are traded.

Some futures contracts like frozen pork bellies, seem to have a floor traded and electronic platform, http://www.cme.com/trading/prd/overview_PB659.html that run in parallel time frames, during the daytime trading hours.

Other contracts like wheat, seem to have electronic hours only during the off pit hours?
http://www.cbot.com/cbot/pub/cont_detail/1,3206,1322+14398,00.html

Other contracts like crude oil, seem to have nearly round the clock e-trading, but the pit is only open from 10 am to 2:30 pm EST?
http://www.cme.com/trading/prd/env/nymex/nymexspecs2760.html

So if it is a floor traded item, or derived from a floor traded item, am I correct to assume that the off hours are illiquid? (can you get a nearly instant fill at the displayed price on a electronic trade?)

Thanks,
JO

 

[peterpr]

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So if it is a floor traded item, or derived from a floor traded item, am I correct to assume that the off hours are illiquid? (can you get a nearly instant fill at the displayed price on a electronic trade?)
JO

I don't think you'll find any e-traded futures contract that is 'derived from a floor traded item'. Both are derived from the underlying physical, stock, currency or index.

I trade the CBOT e-mini Dow contract which trades 24 h/d with a couple of down hours for maintenance etc. There is also a pit-traded DOW futures contract which trades normal US exchange hours. The short answer to your question is yes - relatively so. It also depends to some extent on the relative volumes transacted on each contract but more fundamentally on the depth of the order book at the time you want to execute your trade. I can usually get a pretty instantaneous fill even when the market is at its thinnest but at such times, as few as 4-6 e-mini DOW contracts can move the price a couple of points all by itself.