Why the S&P E-Mini Stinks

[pitrader 10]

I never was attracted too much by the ES. I was trading the Russell long before the ICE took it over. Look at the ES on a 1min chart or lower (tick chart) and all you will see are a bunch of dots and specks. Look at the same period on the TF and you would have a hard time telling the difference between say a 65 tick chart and a daily or weekly chart in terms of bar structure. If your system is pattern specific the ES blows on short time frames. The TF is the only market that suprised me when I went real time in terms of my fills. Do you find that the ES fills your limit orders 60% of the time when they are just touched

( 2 lots)? The TF does!! Try it for a day and you will be suprised. Also factor in the revised margins rates from the ICE $2900 for overnight!! Contrast that with the ES which is still $5600 I think that the ICE is trying to lure people away from the NQ and ES. That's not to say that you cannot make money with the ES I just think that the TF is a much easier market to trade. I've seen trades that were profitable on the TF that would have resulted in a loss on the ES just because the ES was not volitile enough.

[Emotion 10]

Interesting thread everyone. I have been trading the ES Emini for quite some time and have consistently heard the argument made that it cannot be traded or that it isn't the best market for trading.

 

You are not getting the point that is made in this thread!!!

 

Nobody is telling you that it is impossible to make money trading the ES! All we are saying is that if you CAN make money in the ES you can probably make MORE and EASIER, trading other future markets!

[AuctionMarket_Trader 10]

Stop saying you don't get filled that's just stupid ... get used to hitting the bid or offer

[pitrader 10]

I didn't say you cannot make money with the ES, I said and I quote "That's not to say that you cannot make money with the ES I just think that the TF is a much easier market to trade."

 

And as for the "Stop saying that you don't get filled that's stupid" comment I didn't say that you don't get filled I said that 60% the of the time trading Russell I get filled on my limiit orders trading 2 lots when they are just touched and not traded through. Not so with the ES. With the ES you would have to hit the bid and ask buttons more often than not as compaired to the Russell when your limit order is not traded through.

[sdoma 10]

You guys are talking about ES the way most futures traders talk about Nat Gas or Wheat.

 

The ES is a choppy, mean reverting instrument due to all the algos and arbitrageurs that trade it. If you compare it to other indexes, however, they all track each other intraday. So, some systems would still work on it, choppy or no, and the advantage of the ES is that you can scale your system up like a mother if it works.

 

For example, if you like to fade moves intraday for several ticks, the ES would be an instrument I'd advise you to look at. If you like to ride trends or trade wild markets, I would advise you to stay away. You also have to develop the judgement to know when you need to lift the offer or hit the bid to get in, as AuctionMarket said. The nice thing about the ES is that you could lift in with 100 if you needed to. Try that on the YM and see where it gets you.

 

I'm not advocating that people go and trade Spoo, I just think it's funny that people think it can't be traded, or that all the best traders trade it. Some people who are very good at trading ES would get their ass kicked trading crude, or soybeans.

[Trader_Matt 10]

You are not getting the point that is made in this thread!!!

 

Nobody is telling you that it is impossible to make money trading the ES! All we are saying is that if you CAN make money in the ES you can probably make MORE and EASIER, trading other future markets!

 

 

 

Easier markets to trade is relative to the individual. An easy market for me is not necessarily an easy market for you and your easy market is not necessarily an easy market for another trader. That is what I am saying.

[TimRacette 11]

From a technical standpoint there is no market like the ES. Except of course...the Euro. Between ES and 6E I've found that there are quality setups every trading day.

[BlowFish 10]

Just out of interest what do you mean by 'technical' Tim? I guess you are talking about 'classic' TA (price action, S/R, trend lines etc.)

[TimRacette 11]

Technical in the sense that they adhere to the same technical setups each day. When the trend fails you can have confidence trading in the new direction because the setups are reliable. (A 15-min chart is my preference).

[phantom 16]

I know it's probably sacrilege around here to insult the vaunted S&P e-mini but I'm willing to bet it blows up more traders than any futures market.

 

If more people would start trading the Russell vs. the S&P I guarantee failure rates while high, would be lower.

 

Agreed. Moreover, if everyone learned to trade the currencies (easily the best trending markets on the planet, and way easier to trade), the exchange could just retire the sacred cow altogether...

 

 

Luv,

Phantom

[mslk 10]

Here are some very compelling reasons why some people I know prefer to trade e-mini YM to stocks (off the top of my head).

 

- can day trade without needing $25,000+ in the account

- Comissions are decent $4/round turn trip on the YM

- As I dont have to wake up at 6am and scan for stocks to trade

- Tax Reasons - You don't have to list every sale on your return! (for people in the USA)

- The $5/tick range of the YM makes for lower slippage(ES, ER too volitale=bad slippage)

- The spreads are never going to be huge like they can get on stocks

- Focusing on one instrument day in and day out is less complicated and more productive

- It's liquid enough. Market orders are instant. No weird fills

- Share size allocation is easier. I trade from 3-8 contracts depending on the setup

- I've held a stock that plunged 20 pts due to random company event. While econ reports move the futures. It's never been THAT bad

- There are always shorts available

 

If anyone has any more to add??

 

mslk

[TheDude 10]

mslk - i dont think anyone would argue futures arent a better day trading vehicle than stocks. well ok then, some people would, but there we go.

 

i say tom-at-oh, you say tom-aye-toe.

[TimRacette 11]

mslk- most of the benefits on that list encompass futures as a whole not just the /YM. Multi-item futures offer superior tax treatment and accounting benefits for sure. I also find those markets to adhere to technical systems better than some individual stocks.

[mmustoe 10]

OK, I'll bite... Why does this subject slam the ES? Of course there are reasons to trade futures over stocks, but after a long time trading them both, I think the ES is a superior instrument over the YM (for funded, experienced traders). Both products have personalities, but they are different. Traders must know the characteristics of their preferred products. To do otherwise will only make you a DONOR.

 

I liken it to hunting... know your prey, know it's habits. Stalk it patiently, and with a plan. Take your prize and get on with your life.

[TimRacette 11]

I liken it to hunting... know your prey, know it's habits. Stalk it patiently, and with a plan. Take your prize and get on with your life.

 

Well said mmustoe. Great analogy.

[mslk 10]

well as a newbie trader myself, i'm looking for the 'most probable' market to make money in. if my daily target is $250, thats only 5 points x $50\point - easy right? well no, as the mini S&P only moves 20 points or so a day so I'm trying to capture 25% of the daily movement ... which has been tough! but the currency futures move much more and so it appears there is more opportunity to capture the equivalent points trading fx vs. emini. is this correct?

[TimRacette 11]

mslk, checkout the Euro 6E. It adheres to technical setups just like the ES, but with wider ranges.

[djohnsonhot 10]

Tim, Same with TF....I have been trading it in the summer as it trades easier than the ES, and generally better anyway.

[TimRacette 11]

I agree, the ES is better when volatility picks up. Last July with a VIX 30+ the ES was great, not so much right now for intra day.

[FulcrumTrader 10]

I actually like the ES for the most part......very stable with LOTS of liquidity and LOTS of commercial (not retailers) participation. The more commercial participation the better for using Cumulative Delta Volume as a proxy to track the ongoing open interest.

 

I think one reason many developing traders have problems with Equity Index instruments like the ES is not paying attention to Equities action (during US cash session and during EU cash session hours). For example, during US cash session hours Equities BUY and SELL program activity tugs the ES around most of the day. The large liquidity participants holding open interest in the ES then have to constantly adjust/react to this Equities action. Traders that do not understand how to track this process then get perplexed by the price action. When Equities action is dormant, the ES is a range bound chop fest. When Equities is pounding BUY or SELL programs, the ES can trend into great runs of covering action (large liquidity participants dumping out of held inventory) dominating the order flow.

 

Find a way to track the cycling of the Equities BUY and SELL program activity and you will get a much better perspective into the ES price action.

[TimRacette 11]

I agree Fulcrum, I look at the NYSE and NASDAQ Breadth, AD Line, Tick, and Trin throughout the day when I trade the ES. Acts as a great barometer for what's really going on 'under the hood' with the markets.

[Predictor 11]

I trade the ES almost exclusively. A lot of people say it is the hardest market but I like it: it is easy for me. Honestly, most of the markets are correlated now and so it doesn't matter what you trade, if you can call direction.

 

I've only just started trading the crude. From my personal experience, the ES tends to trend more clearly and throughout the day whereas the crude likes to jump around and make some violent moves. You just need to find a market/style that suites you. If you like selling at the open and holding to the close (selling/buying) then the ES is a pretty good market. If you like buying an intraday sell off then you may like crude better or for scalping.

 

Having said that, day trading in a bull market can be difficult because the moves occur overnight and then you are left with a tiny range. For DAY TRADING only then I don't like stocks but it would be hard to deny that there is probably more opportunity in stocks.

 

One aspect about the ES that makes it popular is that I feel it is fairly level playing field. I am not so sure that the playing field is as level when dealing with commodities or Forex for that matter.

[tool123 10]

one of the initial remarks in this thread was that it very often seems your order is only filled when the price breaks through. It seems that there is always a lot in front of you and you are always last in line. Not sure if front running is possible. I do not trade ES at the moment. My system automatically sends orders to the market but I send the last price as the limit price. Often I have to wait fro the order to get filled. ES gives far more problems than for instance TF, EMD and CL even though ES is far more liquid. Anyway, this is my observation. I guess front running is not possible but I do not use L2 so did not study it. With stocks they front run for sure using these fractional prices like 25.2400001. ES does not have these fractional prices as far as I know.

[TimRacette 11]

Ya I only have it happen every so often (getting filled at the bid/ask without it trading through). Sometimes have my order or a handful of contracts will fill at the bid then it trades through and the remainder is filled. It has everything to do with your data connection and where you are in line (FIFO) First in First Out.

 

You can also setup 'market if touched' orders instead of using a straight limit order.

[:::grimReaper::: 10]

It's very difficult at times to get a fill unless price moves through your price. It is quite subjective because your system might hit target but you won't so what do you do?

 

Read this whole thread, and no one mentioned this, ironically other than the OP: there's also more volume. Create a rough ratio of TradeVolume:BestBidorAskVolume and compare. Below I used very rough estimates of the best bid/ask sizes, keep in mind I only trade the ES so that's what I'm most familiar with. TradeVolume is today's average volume on a 5min chart from 9:30-12:00est. The numbers below look very close if you consider statistical noise. Furthermore, given that the numbers don't include slippage (ES never has a spread greater than 1 tick in the day), ES looks better.

 

And no, I don't feel like a badass trading the S&P, maybe if I trade it in the pit or trade CL/6E (controlling 125000 euros yo).

 

ES:

26k/400 = 65

 

TF:

1500/30 = 50

 

YM:

1500/25 = 60

 

NQ:

3100/40 = 78