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axaa2

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Developing a Algo strategy and trying to determine the optimal order type for entry.

Trying to decide between 'Market ' or ' Limit with 1 tick' ( buy at ask, sell at bid).

Can someone trading crude CL future ( 10 to 20 lots) comment how much is the slippage in production during normal market conditions ( excluding news ) on Market orders ?

Thanks
 
axaa2 said:
Developing a Algo strategy and trying to determine the optimal order type for entry.

Trying to decide between 'Market ' or ' Limit with 1 tick' ( buy at ask, sell at bid).

Can someone trading crude CL future ( 10 to 20 lots) comment how much is the slippage in production during normal market conditions ( excluding news ) on Market orders ?

Thanks
Click to expand...

I don't know personally.
If you cant find an answer, you may have to pay for it in testing.

Either code up a test algo that spins through enough RT's to give you the answer,
or just trade it alongside a highly correlated instrument (inverse or not).

Either way will cost at least the spread and comms as well as slippage.
If you can run 10-20, the hit should be bearable, even if not nice as you
know in advance its an outright loss.
Not the answer you're looking for I know, in the absence of any other info,
it may be the only option.

If you just spin through the RT's, I would code up an entry window around the common
entry / exit times, then exit with a ridiculously tight stop / target.
 
Thanks LV for the info and the link.

I was just looking at the tape and was wondering how do these big blocks get traded at the same price level

uZsAz.jpg
 
Block Trade Definition | Investopedia

Even block trades go on the tape, they just aren't executed open market.
I'm not sure if that would show on the order book (guessing not as they aren't market orders).
Thats why you get executed orders on the tape after market close on markets with no
post market trading such as the LSE.

TBH though, not my area of expertise, best person to ask here would be DionysusToast.
He's very familiar with Ninja and orderbook / tape reading.
 
axaa2 said:
Thanks LV for the info and the link.

I was just looking at the tape and was wondering how do these big blocks get traded at the same price level

uZsAz.jpg
Click to expand...

Market liquidity...if you don't understand that you shouldn't be trading.
 
new_trader said:
Market liquidity...if you don't understand that you shouldn't be trading.
Click to expand...

Why do you need market liquidity?
Block trades are off market like dark pools...actually thats what most block trades are, dark pool trades.
They still have to be reported on tape thats all.
 
Here's some more background info for those wishing to know what a block trade is:

http://www.cmegroup.com/clearing/trading-practices/block-trades.html
http://www.cmegroup.com/trading/energy/files/energy-blocks-FAQ.pdf
http://www.cmegroup.com/trading/energy/files/block-trade-reporting.pdf
CME floor traders protest block trades - FT.com

They are mostly off market in dark pools these days.
A block trade could be executed open market, they just aren't anymore.
Open market trades of volume are usually icebergs for this very reason,
hence not reported as blocks.
 
axaa2 said:
Developing a Algo strategy and trying to determine the optimal order type for entry.

Trying to decide between 'Market ' or ' Limit with 1 tick' ( buy at ask, sell at bid).

Can someone trading crude CL future ( 10 to 20 lots) comment how much is the slippage in production during normal market conditions ( excluding news ) on Market orders ?

Thanks
Click to expand...

I believe a Market Order is to buy at market at the current price shown, if trading 10-20 lots CLA during liquid hours then you should get very little slippage.

Placing a Limit Order will fill the trade at a predetermined price, when price hits that point will reflect slippage. If you are trading the underlying market and it gets hit at 1am you will get filled where possible and may find 5 lots get done at 105.50, then another 5 at 105.55 etc.
 
new_trader said:
Market liquidity...if you don't understand that you shouldn't be trading.
Click to expand...
So new_trader, based on your knowledge, do you think market order type would get a fill within 1 to 2 tick range during the most liquid,first 60 min of US EST session ?
 
These links are helpful. I focus on ES and am familiar with ES tape that I read on x_trader TS. However x_t does not report block trades like IB + Ninja TS.

Now it makes sense why 185 lot traded at just one level. It was picked up by another counter party off exchange and was just reported as per CME-NYMEX rule-book requirement.

Looks like the pre-requisite for executing block trade is to have $ 25 mil account , so definitely not for small retail traders .



Liquid validity said:
Here's some more background info for those wishing to know what a block trade is:
Click to expand...
 
Yes, I forgot to mention that strategy will run during the liquid first 60 min of US session.

Do you know someone who actually trades 10-20 CL lots in production and gets 1-2 tick slippage at entry/exit ?




SlowlyButSurely said:
I believe a Market Order is to buy at market at the current price shown, if trading 10-20 lots CLA during liquid hours then you should get very little slippage.
Click to expand...
 
axaa2 said:
Yes, I forgot to mention that strategy will run during the liquid first 60 min of US session.

Do you know someone who actually trades 10-20 CL lots in production and gets 1-2 tick slippage at entry/exit ?
Click to expand...

It totally depends, and to be 100% sure I would need to let you know next week when available during the US trading open. As of right now (6:30 am GMT) on CLU3 if you traded 10 lots you would get slipped 3 cents on the Bid and 2 cents on the Ask. That is on the underlying market.

Therefore I think you should be fine during oil's most liquid hours, but be warned of the spread widening during volatility.
 
axaa2 said:
These links are helpful. I focus on ES and am familiar with ES tape that I read on x_trader TS. However x_t does not report block trades like IB + Ninja TS.

Now it makes sense why 185 lot traded at just one level. It was picked up by another counter party off exchange and was just reported as per CME-NYMEX rule-book requirement.

Looks like the pre-requisite for executing block trade is to have $ 25 mil account , so definitely not for small retail traders .
Click to expand...

The ES is a very liquid contract and can easily absorb 100 contracts and more without any bad fills. But you still have to recognize the times when it can do this and when it can't. This is important for any market. Not all opening sessions are the same and not all closing sessions are the same. This is why I am not a fan of automation, which is what you are planning.

Also, the ES is not block-trade eligible.
 
For the start ,CL is one of the various components of a futures basket .
So given that for CL :
a. There will be slippage and headache of constantly managing partial fills
b. Inability to scale
.. thinking of removing CL and substituting it with FESX.

How is the liquidity for FESX during 9:30- 10:30 US EST ?
thanks
 
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