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Disco Scottie

Better for scalping: ES or YM?

By Disco Scottie, in E-mini Futures

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Armand    10

Armand
Posted
Do you know that 50 contracts controls about $3 million. A 1% move, which can easily happen in less than a couple hours given today's volatility, means a $30,000 swing in your account.

Would someone please explain what this means? I'm not quite sure I understand and it seems very important...

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Sparrow    10

Sparrow
Posted

This is because you only have to pay a margin on futures to buy a contract unless you take delivery. But price changes take full effect on your account not only the money you had to pay for buying the contracts.

e.g. E-mini S&P: $12.5 per tick * 50 contracts = $750 per tick

It just takes 10 S&P points to lose 30k, that's less than 1% at the moment.

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OAC    10

OAC
Posted
Would someone please explain what this means? I'm not quite sure I understand and it seems very important...

 

Do you know that 50 contracts controls about $3 million. A 1% move, which can easily happen in less than a couple hours given today's volatility, means a $30,000 swing in your account.

 

Sorry that was written a couple months ago, now it is more like a couple of minutes instead of a couple of hours. :o

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treydog    10

treydog
Posted

I hate to resurrect a dead thread but this is the topic I was looking for.

 

I am mostly concerned about fill times i only trade 1-2 contracts of ES. But have had a lot of problems with fills as the posters above noted. I have not tried the YM but what is the difference? I have placed a couple of orders and both my ES and YM get filled at close to the same time (a few seconds) but that was only a couple of times. I am hoping someone can give me deeper insight into the differences in fill times on trading the ES vs YM at small contract sizes 5 contracts or less.

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BlueHorseshoe    10

BlueHorseshoe
Posted
That is open for debate.

 

If you lease a seat (or purchase one) and get your commissions under $3 round trip and focus on the ES, I think slippage is not an issue.

 

It's not really necessary to be an exchange member to get commissions below $3 per round trip if trading a significant number of contracts, is it? I'd have thought most brokers could be talked down from their headline rate by someone flipping contracts at the rate the thread starter suggests.

 

I'd be really interested to hear more of your thoughts on slippage in the ES - are you saying that most market orders will be filled without any slippage?

 

Thanks

 

BlueHorseshoe

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BlueHorseshoe    10

BlueHorseshoe
Posted

I developed trading systems for funds which scalp the market and they play orders at the beginning of the day and pull them once the price gets close so when they need them they are first in line on the ES.

 

I am currently exploring this idea myself, having read about it in a book on HFT. The difficulty seems to be in 'sweeping away' unwanted orders ahead of time. Would you be willing to share any information about how this concept can be implemented? Is it possible within the confines of the retail platforms (or TS, specifically), or are bespoke software/hardware solutions required?

 

Many thanks,

 

BlueHorseshoe

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BlueHorseshoe    10

BlueHorseshoe
Posted
For the small trader, the CL is the premier scalping instrument. Once you start looking at that, the e-minis won't hold much interest unless the VIX gets over 30.

 

Do you think that this is true on grounds of volatility alone, or due to some element of how the crude market behaves?

 

BlueHorseshoe

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cma6    10

cma6
Posted

What about Russell 2000 futures vs. ES or YM?

If one is trading more than 5 lots of the mini-futures, why not trade the full contract?

 

Can anyone recommend an FCM for a starting mini futures trader?

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TimRacette    11

TimRacette
Posted
What about Russell 2000 futures vs. ES or YM?

If one is trading more than 5 lots of the mini-futures, why not trade the full contract?

 

Can anyone recommend an FCM for a starting mini futures trader?

 

Trading a 5 lot on the mini vs 1 big contract would allow you the ability to scale out. And I use Infinity Futures for my order execution.

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cma6    10

cma6
Posted
Trading a 5 lot on the mini vs 1 big contract would allow you the ability to scale out. And I use Infinity Futures for my order execution.

 

Tim, thanks, I will check out Infinity Futures.

CMA

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