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brownsfan019

Important Info on the ES for Any New Traders

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I have found that new traders to the ES sometimes don't understand one really important characteristic of this market, esp. when compared to the YM, NQ or ER2 - and that is more often than not, price must TRADE THROUGH the level you are looking to get a fill to assume you will get filled. This concept is incredibly important, esp. to backtesters, that new people to the ES do not always grasp right away.

 

In other words, whether backtesting or trading on a simulator, always assume that price must TRADE THROUGH the level you want to enter/exit to get a fill.

 

Example: say you want to short with a limit order at 1275.50. More often than not, to get that fill, price will have to touch 1275.75. There are times where you might get filled / partial fill depending on where in line you are, but I've found that many new traders to the ES (and not necessarily new to trading) have a hard time w/ this when coming from the YM, NQ or ER2.

 

The reason is simply the volume that is traded on the ES is much thicker than the other markets so it is harder to get a limit fill if it does not trade through.

 

I mention this today b/c I've literally had 3 trades today TOUCH my profit target, not fill and then retrace back. Frustrating to say the least, but hopefully my frustration will help someone here.

 

My suggestion to those on a simulator is to put your profit target(s) one tick out from where you really want to exit and same with backtesters. Whenever I switch over to the OEC demo and set a profit target, I have my targets set at 1 tick greater than what I would be doing in real-time so that I get a real-time type fill.

 

THERE IS NO POINT IN FOOLING YOURSELF OR PLAYING GAMES WITH YOUR MIND.

NEVER ASSUME YOU GOT A FILL ON THE ES IF IT DID NOT TRADE THROUGH.

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Guest forsearch

Does your platform of choice (OEC) support Market if Touched orders on Globex? Maybe that might help out, if you don't mind losing a tick.

 

To quote John Carter from Trade the Markets, "Don't be a dick for a tick!" ;)

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  forsearch said:
Does your platform of choice (OEC) support Market if Touched orders on Globex? Maybe that might help out, if you don't mind losing a tick.

 

To quote John Carter from Trade the Markets, "Don't be a dick for a tick!" ;)

 

Yes, OEC has MIT orders however I am not using them in my current profit targets. Just one of those days where one more tick down and 3 trades turn into +6 vs. +3 ticks. Just part of the game, I am used to it by now.

 

:)

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And actually fs that brings up another topic but we'll discuss briefly here... if you find a profit target(s) that works for you, it's inevitable that a day here and there will test your faith in that setup.

 

Currently I am just popping trades for +2 and out. Today that equates to SIX ES POINTS 'LEFT ON THE TABLE'. Most might start to panic or just say - let's take 1.75 or 1.5 going forward.

 

For me, I know more often than not, that +2 is very achievable. Today is a day where that faith in my +2 is being tested. And this does happen from time-to-time. So easy to say take 1 tick less on all these trades, but if I were to go back and run the #'s, I KNOW that would take THOUSANDS AND THOUSANDS from my account. Yes, today was a testing day. No doubt.

IMO if you let the market shake your faith that easily b/c of 1 day, you'll constantly be chasing yesterday's results.

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Yes, and the corollary is that if your stops aren't managed well, you'll also bleed your account to an early demise.

 

If you use a -4 stop, instead of a -2 stop, then you'd probably have to work twice as hard to make up ground if a trade goes against you.

 

Likewise, if your setup doesn't allow for the occasional runner, then you might not be able to maximize your gains on trending days.

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Ah yes, the touch but no fill game. The best thing is when the market touches your target...pulls back...you take profit several ticks lower thinking you missed your target...and no more than a few seconds after you exit the market runs past your target. I always enjoy those and get a good laugh. Hey, if you can't have fun with what you're doing then maybe you are in the wrong business. :)

 

Create a statistically sound plan and stick to it.

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  forsearch said:
Yes, and the corollary is that if your stops aren't managed well, you'll also bleed your account to an early demise.

 

If you use a -4 stop, instead of a -2 stop, then you'd probably have to work twice as hard to make up ground if a trade goes against you.

 

Likewise, if your setup doesn't allow for the occasional runner, then you might not be able to maximize your gains on trending days.

 

Stops are the other part of the equation. ;)

 

I'm not interested in trying to catch the trending day move when we know how little the market actually trends. I think that is a big myth that few can actually make money at. If the market trends maybe 1 day a week (if that), I'm not interested in trying to catch that one move once a week. Today is a great example - setting new highs currently yet we had a push up, then down and now back up... If one is to try to catch the 'move' I wonder how many could hold their longs through that nice downmove and/or how many shorts are still holding short assuming the downmove is coming back?

 

My point is that while it sounds great to say catch the occasional trend day but 1) it happens so few times and 2) you still have to be on the right side of it.

 

For my personal trading, I have run the #'s over and over and over again and while it's fun to catch that 10+ pt move, it just doesn't happen that often to make it worth my time or effort. For the 1 time you do catch that monster move, there are 10+ times that it doesn't happen.

 

So while I may not make as much on the few trending days as others, I'm more than happy to make consistent profits most days by taking reliable setups with achievable profit targets.

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  brownsfan019 said:

 

The reason is simply the volume that is traded on the ES is much thicker than the other markets so it is harder to get a limit fill if it does not trade through.

 

 

I buy at the bid and sell on the offer on ES all the time. You must know your support/resistence and be prepared to enter the limit order early because I believe they are filled on FIFO(first in first out) basis. The only time where it is hard to sell on the offer is when the market is reaching a buying exhaustion.Then you have to watch T&S carefully and be ready to cancel and hit the bid when both the buying momentum stalls and the bid level start to thin out. I rarely have problem selling on the offer on the first impulse wave up.(Selling to people who don't want to miss the boat)

Edited by OAC

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  Hlm said:
Ah yes, the touch but no fill game.

 

 

:o Gotta love it. For Nikkei traders I am sure this touch but no fill is probably the biggest cause of stress lol. 100 + lot traders never use limits in this market.

 

On the ES, I tend to use market orders when entering and limits when exiting. Like bf, I have fixed target levels for scaling out of positions. Adjusting these target levels usually leads to less profits as I become greedy. Thus fixed targets lower my stress level I think.

 

Check out the Nikkei price ladder. Most of the orders are market orders.

Nikkei Dom 1.aviFetching info...

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Just downloading the video soultrader. I'm not sure I understand what you are saying here. Any market orders are accompanied by the opposite limit order in the huge majority of activity across the tape - no?

 

With kind regards,

MK

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  MidKnight said:
Just downloading the video soultrader. I'm not sure I understand what you are saying here. Any market orders are accompanied by the opposite limit order in the huge majority of activity across the tape - no?

 

With kind regards,

MK

 

Focus on the big lot traders. If they need to sell they always hit the bid. If they need to buy they hit the offer. Waiting in line to get filled is the last thing you want to do in this market. Its lunch hours now...but Ill try to record the DOM and tape later to give you an idea.

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  OAC said:
I buy at the bid and sell on the offer on ES all the time. You must know your support/resistence and be prepared to enter the limit order early because I believe they are filled on FIFO(first in first out) basis. The only time where it is hard to sell on the offer is when the market is reaching a buying exhaustion.Then you have to watch T&S carefully and be ready to cancel and hit the bid when both the buying momentum stalls and the bid level start to thin out. I rarely have problem selling on the offer on the first impulse wave up.(Selling to people who don't want to miss the boat)

 

It is about speed of entry; however w/ the ES being as thick as it is, getting multiple lots filled can be an issue. It comes down to how quick you are in line and how many ct's are being traded. I've had plenty of partial fills but the only time I can get a full boat filled is to have price either stay at my price for a bit and/or tick up/down from where I want in.

 

No idea what the wave and impulse stuff is, so we'll just leave it at that. ;)

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  brownsfan019 said:
It is about speed of entry; however w/ the ES being as thick as it is, getting multiple lots filled can be an issue. It comes down to how quick you are in line and how many ct's are being traded. I've had plenty of partial fills but the only time I can get a full boat filled is to have price either stay at my price for a bit and/or tick up/down from where I want in.

 

No idea what the wave and impulse stuff is, so we'll just leave it at that. ;)

 

I am amazed that you get partials on the ES you must be trading 1000's at a clip :) With my modest size I don't think I have ever had a partial on the ES, your order would have to be top of the queue right as the market backed off to fill some and not the rest. As 10's of thousands tend to trade at each level your chances are much greater of getting nothing (or all). On thinner instruments like ER YM Z DAX etc. partials and splits happen fairly regularly.

 

I do agree with your original advice though (unless you are putting orders in hours before as OAC mentions).

 

EDIT: it occurs to me that if you are using a non native exchange order you may get issues. Still kind of hard to picture the senario.

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BF - if price is just TOUCHED on the ES and then retreats, there's no way every one in the queue gets filled. That's hopefully obvious.

 

And that's my point - if price just TOUCHES the level you want in/out there is no guarantee that you will be filled.

 

Example - price touches 74.25 for 10 seconds and then retraces away from it. VERY few actually get filled at 74.25, meanwhile there are many in the queue that do not get filled.

 

Once price TRADES THROUGH your level, then you are going to get filled and that's the point here.

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  brownsfan019 said:
BF - if price is just TOUCHED on the ES and then retreats, there's no way every one in the queue gets filled. That's hopefully obvious.

 

And that's my point - if price just TOUCHES the level you want in/out there is no guarantee that you will be filled.

 

Example - price touches 74.25 for 10 seconds and then retraces away from it. VERY few actually get filled at 74.25, meanwhile there are many in the queue that do not get filled.

 

Once price TRADES THROUGH your level, then you are going to get filled and that's the point here.

 

Yes I understand all that but to get a partial fill is so unlikely on the ES you may as well discount it. You wrote "I've had plenty of partial fills " I think that was a mistake? Partials are virtually impossible (on the ES) unless you are trading massive size or submitting orders one lot at a time with a large gap between orders. (so your order is not all in the same place in the queue. )

 

To get a partial your order not only has to be at the front of the queue at the absolute tick that the market turns - but the size of that last tick has to be smaller than your total size. Not only that but price has to drop from that level and not return. Chances are minuscule in the ES though they would obviously rise if you where trading large size...hence my joke about you trading 1000 at a clip. :) Of course in thinly traded markets partials are common.

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  Soultrader said:
Please see attached video clip. I compressed it severly so may be lacking in quality. Not the greatest example but something I came up with for todays afternoon session. Enjoy.

 

Thanks for making the video soultrader. I couldn't get it to play though, any ideas?

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  BlowFish said:
Yes I understand all that but to get a partial fill is so unlikely on the ES you may as well discount it. You wrote "I've had plenty of partial fills " I think that was a mistake? Partials are virtually impossible (on the ES) unless you are trading massive size or submitting orders one lot at a time with a large gap between orders. (so your order is not all in the same place in the queue. )

 

 

Sounds fishy to me too. BF, if I were you, I would want to be 100% sure that everything is strictly direct-access and nobody is trading my orderflow. Just my 2 cents.

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  brownsfan019 said:
Maybe I am just too slow on the mouse click. ;)

 

Either that or maybe all the orders aren't actually going to the exchange? It seems that OEC holds back stops and stop limit orders on their servers, instead of natively sending them onto the exchange order book. Is this true?

Edited by forsearch

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It is ALL about getting a good que position.

 

One great feature about Trading Technologies X_Trader is the EPIQ Column - Estimated Place in Que.

 

When trading the ES, Eurostoxx, etc. I will always have orders qued up miles up and down the ladder. You can always pull them if you don't need them. At a minimum have orders placed around common areas that you are likely to trade off if the market gets there - yesterdays close, around prior highs lows, etc etc.

 

You will also find you can "steal ticks" just from getting a good que position. Plenty of traders make a very decent living doing just that.

 

Often I will find the market approaching a level where I have a good que position. I wasn't even planning on fading the move, however I'm in a good spot in the que, so why not try and nick a few ticks? There will be enough time to scratch the trade. I get filled, immediately place an order on the Bid below, and more often than not I get filled, or I scratch, no harm done. If you only did it with 4 lot 10 times a day for 1 tick, that's an extra $500 gross (before comm. ) a day for a basically mindless strategy.

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  smwinc said:
It is ALL about getting a good que position.

 

One great feature about Trading Technologies X_Trader is the EPIQ Column - Estimated Place in Que.

 

 

Im curious, could you post a screen shot of what this looks like?

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