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Good morning spectacular speculators!
I'm using Interactive Brokers to trade electronic future contracts (they only
offer electronic futures). I'm currently trading a/c/e 10 year Treasury Notes
and looking for more contracts to add to my trading mix. Other interest rate
markets are not too good an idea since they are so highly correlated. For a
beginner such as myself, indexs are a little pricey in margin and point value.
So I am considering Globex contracts. With my current data problems I decided
to go to the source (Globex time and sales FTP files on their web site) to
determine average number of ticks per day. I downloaded their files for July
and August and did average tick counts per day in Excel. Here are my results:
AD=285 CD=656 DM=5 E7=21 EC=1757 ED=370 EM=13 FR=2 J7=5 JY=961 NB=647
RF=22 RP=30 RY=93 SF=630.
I am amazed at how low the tick counts are for some of these contracts,
especially the DM=5, CD=656 and FR2! The only contract with even a reasonable
daily tick average is EC=1757, the Euro FX.
Two questions: 1) Does anyone have any insights, comments or warnings on
trading the Globex EC contracts? 2) Can anyone that has other than Esignal
data generate average daily Globex tick counts to confirm my study?
Thank you for sharing your wisdom and tick counts!
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