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At 08:41 AM 11/25/98 -0800, you wrote:
>If anybody has an estimate of the number of SP contracts traded on the
>close or in the last 5-10 minutes I'd love to hear about it. Just trying to
>estimate slippage for potential "large" trades.
>
>Best regards,
>Phil
>
>
I worked at the CME as a clerk one summer (1994) while I was in college at
the Yen pit. Although this is not the S&P pit I would imagine it is very
much the same. Sometimes there was lots of volume on the close and other
times it was relatively light, which is likely to be the case today and all
holidays. First, I would ask several brokers and their floor brokers, who
offer direct floor access, how much size can be moved with out moving the
market. Of course their answers need to be taken with a grain of salt but
some sort of range should be established. Second, ask your broker or
prospective broker for a tour of the exchange in order to see and hear the
size of the bids and offers yourself. It might take a few trips to the
exchange to get a good idea of how the size of the bids and offers affects
the market during the close. Finally, I have noticed that the S&P usually
gets pushed one way or the other the last 15 minutes of trading when the
cash market has closed. Have you considered starting to exit your position
at 4 pm EST instead of on the close or exiting 30 minutes before the close.
I know it might be tough to back test but I don't think that getting out at
4:15 pm EST each day is necessarily the best time in terms of slippage and
exit price. Hopefully, this information has been helpful to you.
Good Trading,
Chris Ridder
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