Hi Guys, I've been scalping 1 tick ES contracts in ToS's paper trading platform with great success. However, I get an eerie feeling that this is all due to unrealistic fill prices in their paper trading platform. Does anyone have any experience trading futures with ToS? Thanks!
EmotionIsTheBigEvel
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I think you may say that the fills during trading hours for the ES are reallistic, because 6 contracts are always filled immediately. For other future contracts this is a whole other story, but for ES and NQ there is no problem with fills, there isn't also a great danger for putting in market orders for those two futures.
I would have thought that with the papermoney version you would only get filled on the actual bid/ask, whereas in real life you can get filled somewhere inside the spread. There is a danger that the papermoney fills might be happening on the average of the two though .... Ask their online support people - they are very helpful.
Hey huaone, I trade the /ES on TOS and what your seeing is real. The fills are pretty instantaneous with that contract just about anytime. Market orders are just as good as limit orders with the ES unless the market is moving against you unusually fast.
Ektrader
Ektrader
Directional
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If you're putting a limit order in, you need to look at the depth of market and see how many contracts are on the bid/ask before you; if there's 500 contracts on the bid and you're trying to buy the bid, in real life you'd have to wait till 500 contracts trade on the bid before you'd get your fill. Usually, this means you need to wait till it trades through.
Most simulators will fill you after the first tick at the price, which means for scalping its totally unrealistic.
halfmaster
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Hi Huaone, your eerie feeling is correct.
TOS Paper will fill you almost immediately on a limit order on the last print; then it fills you almost immediately a tick higher (assuming you’re using an OCO bracket) to exit if things go well.
TOS Reality might fill your limit order about 1 or 2 minutes later while you’ll wait for an average of 1000 or so contracts ahead of you to fill. When you try to get out a tick above your limit order a tick above may also take about 1 or 2 minutes while you’ll wait for a typical average of 1000 or so contracts ahead of you to fill.
In other words: Yes, Scalping ES in ThinkOrSwim's PaperMoney is Unrealistic - at least for one or two quick ticks with limit orders.
Using paper money to scalp for one or two quick ticks with limit orders on 1039 trades over about 10 weeks, I found I was correct 79% of the time for an average gain of 0.267 points after commissions, and the 21% of the time I was wrong average loss was -0.565 points including commissions.
A tick is 0.25 points and this is profitable since 79% * (0.267) + 21% *(-0.565) = +$0.095 per dollar risked.
On $200 risked per trade, total account was $100,000 starting + 200*1039*$0.095 = $119,741 ending balance. Problem is such would rely on getting the unrealistic fills; I did however enjoy the feel for how ES trades.
In TOS Reality only a market order (typically a tick below the print you may want) fills you immediately. I hope you haven’t learned this too late; best in my opinion to learn with very small size and keep track until you know it’s profitable before scaling up.
Also:
-EmotionIsTheBigEvel, above likely means market orders fill immediately
-Abottoml, above might note ES often trades with no mid spread, and I agree TOS staff are incredibly helpful – just ask them.
-Ektrader, above likely also means market orders fill immediately, though I imagine you’re using limits
-Directional, above is spot on and I thought I would add some further details
TOS Paper will fill you almost immediately on a limit order on the last print; then it fills you almost immediately a tick higher (assuming you’re using an OCO bracket) to exit if things go well.
TOS Reality might fill your limit order about 1 or 2 minutes later while you’ll wait for an average of 1000 or so contracts ahead of you to fill. When you try to get out a tick above your limit order a tick above may also take about 1 or 2 minutes while you’ll wait for a typical average of 1000 or so contracts ahead of you to fill.
In other words: Yes, Scalping ES in ThinkOrSwim's PaperMoney is Unrealistic - at least for one or two quick ticks with limit orders.
Using paper money to scalp for one or two quick ticks with limit orders on 1039 trades over about 10 weeks, I found I was correct 79% of the time for an average gain of 0.267 points after commissions, and the 21% of the time I was wrong average loss was -0.565 points including commissions.
A tick is 0.25 points and this is profitable since 79% * (0.267) + 21% *(-0.565) = +$0.095 per dollar risked.
On $200 risked per trade, total account was $100,000 starting + 200*1039*$0.095 = $119,741 ending balance. Problem is such would rely on getting the unrealistic fills; I did however enjoy the feel for how ES trades.
In TOS Reality only a market order (typically a tick below the print you may want) fills you immediately. I hope you haven’t learned this too late; best in my opinion to learn with very small size and keep track until you know it’s profitable before scaling up.
Also:
-EmotionIsTheBigEvel, above likely means market orders fill immediately
-Abottoml, above might note ES often trades with no mid spread, and I agree TOS staff are incredibly helpful – just ask them.
-Ektrader, above likely also means market orders fill immediately, though I imagine you’re using limits
-Directional, above is spot on and I thought I would add some further details
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I have compared ThinkorSwim Paper Money to REAL MONEY trading using a simple one trade strategy. Here are the results so far, and some important considerations showing the limitations of Paper versus $$$, quantified and analyzed:
http://www.esnips.com/web/mvbsWebResearch/?flush=1
I also have exagerated results yielded by paper money using that one breakout trade, and linked there.
I created a couple trades for Paper to mimic what I saw in real money trying the trade as well, but at night when the conditions were not ideal at all WRT VOLUME and SPREAD WIDTH. There is a huge difference in what you can expect, but it is a useful analysis tool I find to test the waters... and exposes what could be classed as a bug.:smart:
http://www.esnips.com/web/mvbsWebResearch/?flush=1
I also have exagerated results yielded by paper money using that one breakout trade, and linked there.
I created a couple trades for Paper to mimic what I saw in real money trying the trade as well, but at night when the conditions were not ideal at all WRT VOLUME and SPREAD WIDTH. There is a huge difference in what you can expect, but it is a useful analysis tool I find to test the waters... and exposes what could be classed as a bug.
:smart:consider this - you need to understand how TOS allocates trades in paper trading. if you are bidding 20, are you filled if a "20" simply prints? In the real world, there could be 1000 bid, 20 trades, but you DO NOT GET A FILL, as your position in the queue depth may be low.
You are guaranteed a fill if a 19 prints. So, how do we know, realistically, if you got a fill because someone or multiple parties took out the entire bid, or, you get your fill at 20 and the bid remains at 20? I would consider the later as "having the edge". whereas if you are filled and a 19 prints, you got steamrolled, and lost the edge. Comments?
