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In a message dated 9/3/98 7:03:37 AM, AOGORMAN@xxxxxxxxx wrote:
<<>>>>>>>>>>>>>I'm looking for some feed back on what people, in their
experience, would see as the max no. of contracts that could be traded
on high volume days within the following markets that would result in a
price movement of not more than one or two ticks;>>>>>>>>>>>>>
>>
The general rule of thumb that I use to select tradeable markets is 5,000
contracts of daily volume and 20,000 open interest. The problem is not
necessarily the size of your own orders. You can feed them in carefully in
small lots and take other measures to get decent fills. The risk to you is
the big trader that needs to get out in a hurry or isn't concerned about fills
because he is trying to move the market with his orders. Even if you are only
trading five lots you have to be concerned about the guy who is trading 200.
Also liquidity is often a short term function of the order flow and news. What
is a liquid market today may be very illiquid tomorrow. Look at bonds after
some surprising employment report or other news events. You would think you
were trading coffee for ten or fifteen minutes.
Of the markets on your list I would be most concerned about those traded in
NY. These markets can be very spotty and the fills can sometimes be very poor
for no apparent reason.
Chuck
traderclub.com
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