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The problem is that this number of contracts that will move the price one
tick or more will be different under different market conditions.
Here is the best way to figure the mean of that:
1. Take daily volume, say 600,000 in bonds.
2. Pick time frame, say 1 minute bonds.
3. Take number of bars for a day session. There are 400
1 min bars in bonds per day.
4. Take Volume and divide it by that number =
600,000 / 400 = 1500.
5. Multiply that by 2 = 3,000 - that is how many bond contracts
are traded each 1 min bar = 60 sec - ON AVERAGE.
6. take 3,000 and divide it by 60 to get number of
contracts per second = 50 on average.
7. To calculate per tick average, take daily volume and divide
it by cumulative daily Tick Volume.
8. To get to statistical mean you will have to run this on a lot
of data.
9. Same for any other market.
10. This will not be too acurate. See first sentence.
11. Try to trade at or below the mean to get better fills and
less slippage.
Val.
O'Gorman, Aongus wrote:
> Hello All,
>
> Sorry, the system didn't like the way I sent the last message, here it
> is with the list included.
>
> >>>>>>>>>>>>>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;>>>>>>>>>>>>>
>
> CORN (CBOT)
> GOLD (COMEX)
> COCOA (CSCE)
> SUGAR(CSCE)
> WHEAT (CBOT)
> COFFEE (CSCE)
> LIGHT CRUDE (NYMEX)
> COPPER (HIGH GRADE)
> LIVE CATTLE
> NAT GAS (NYMEX)
> SILVER (COMEX)
> S'BEANS (CBOT)
> BEAN OIL (CBOT)
>
> TKS AGAIN AND APOLOGIES,
>
> AONGUS.
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