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Of course, that begs the question -- who do you use ? :-)
On Mon, 19 Nov 2001, Simon Campbell wrote:
#This depends on the type of online system you use. For myself, I see ZERO
#slippage on entry because I always use stop-limit orders (same stop & limit
#price) and get filled 99 times out of a 100. Not all systems offer
#stop-limit orders. For exiting with profit I use Limit orders (i.e. no
#slippage) and with loss I use plain stop orders. I occasionally see a tick
#of slippage on stop orders but most of the time the fill is at my stop price.
#
#If you use an online system where stop orders are held on the CME's
#servers, then slippage is usually minimised because your order is queued
#and filled according to when it was received. Execution is instantaneous
#as the price is hit (I often see the fill before my screen shows the
#quote!). By contrast, if you go with a firm that holds your stop orders
#locally on their servers (e.g. IB, PMBe), then the order is only released
#after the stop price is hit i.e. your order gets lowest priority and
#results in a few seconds extra delay. The potential for slippage on such
#systems is much higher than systems that let you hold stops at the CME.
#
#S.
#
#At 08:50 PM 11/18/2001 -0500, you wrote:
#>What kind of slippage do you see on the NQ?
#>
#>-----Original Message-----
#>From: Bob Heisler [mailto:BHEISLER@xxxxxxxxx]
#>Sent: Sunday, November 18, 2001 5:31 PM
#>To: TaoOfDow; Rich Tuchow
#>Cc: omega-list@xxxxxxxxxx
#>Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
#>
#>
#>One addition to the Mini thread...take a look at the NQ if you haven't
#>already done so. I've found the NQ to be greatly preferable to the ES on
#>most occasions and only trade the ES when I think I have to, and then
#>grudgingly so. The margin requirements are about the same but the NQ is
#>normally cleaner, has less noise and trends better - all of which make it
#>easier to manage a trade.
#>
#>It moves about 3 points to every 1 point on the ES right now, so during the
#>day I am always looking to see if it's easier to get 6 points on the NQ or 2
#>points on the ES, and in which direction(s). These aren't profit
#>objectives, just my way of determining which contract is best to trade in
#>the current environment. Being willing and able to trade both/either can
#>come in very handy especially on those days where the Dow/Nasdaq diverge
#>(buy the stronger/sell the weaker). You may also find that the best trading
#>conditions usually exist when the Nasdaq is leading the charge.
#>
#>Bob
#>
#>----- Original Message -----
#>From: "TaoOfDow" <TaoOfDow@xxxxxxxxxxxxxx>
#>To: "Rich Tuchow" <rtuchow@xxxxxxxxxxxxxxx>
#>Cc: <omega-list@xxxxxxxxxx>
#>Sent: Saturday, November 17, 2001 10:22 PM
#>Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
#>
#>
#> > Dear Rich,
#> >
#> > It has been fruitful to me to consider several possibilities that are "out
#>of
#> > the box" that you have considered --- some of these have been mentioned by
#> > others, notably Ted & Bob.
#> >
#> > 1. Trading multiple contracts, each under its own parameters. The fellow
#>in my
#> > mind most associated with this idea is Joe Ross, of "Ross Hook" fame, who
#> > advocated trading threes: taking one off after making one's commission
#>expenses;
#> > the second off after making a few, predetermined number of points; and the
#>last
#> > off upon hitting a trailing stop set up to catch a substantial move. Ted
#> > elaborates on this specifically and Bob generally. I recall Bill Williams
#> > saying that his hardest time trading was trading one-lots (and secondarily
#>any
#> > fixed number of contracts, all or nothing), and I find it emotionally
#>easier to
#> > trade several contracts, each with its own rules, than one size all or
#>nothing.
#> > That having been said, I find it easier still to trade one size all or
#>nothing
#> > very tightly (see #2 below) as well as varying the size of my entry
#>depending on
#> > the size of the anticipated move. This is one of these situations like
#>Justice
#> > Stewart who in answer to the question, "What is obscenity?" Replied: "I
#>can't
#> > give you a definition, but I know it when I see it." I can't give you an
#> > objective description of "This is the start of a big move." But every now
#>and
#> > then, something goes off in me when I see something on the screen, and
#>what goes
#> > off in me says "Start of big move --- This is an opportunity --- Be
#>courageous
#> > --- Don't fuck up and play chicken --- Commit!!!" And for reasons that I
#>can't
#> > explain, my feelings more often than not (much more often than not) will
#>be
#> > realized. I just wish I had some control over whatever it is that goes
#>off in
#> > me. It just happens, often without my expecting it, in fact when I
#>usually
#> > least expect it. I've learned that it occurs, if at all, only when I have
#>let
#> > it go and am not looking for it. For a control freak such as myself who
#>was
#> > trained and has worked largely in analytic environments, it has been a
#>real
#> > challenge for me to get out of my analytic and into my intuitive. All I
#>can say
#> > is that I seem to be more successful as a trader when I rely less on my
#>analytic
#> > and more on my intuitive, although this has indeed been a long, difficult,
#>and
#> > stressful learning experience for me, and I still have much yet to learn
#>with
#> > it.
#> >
#> > 2. Trading in and out through a move. Bob elaborates on this. The great
#> > majority of my larger "trades" (a la 10-15 point "trades") consist of
#>multiple,
#> > smaller trades --- they hit my profit targets, I get out, and look to get
#>back
#> > in, just like with a new trade, although in the same direction as the
#>last. I
#> > basically don't use stops, especially trailing stops. I get out mostly on
#> > profit targets, a small pullback upon the failure to hit a profit target,
#>or a
#> > small gain/loss or scratch following entry. The market does what I expect
#> > (occasionally) or I'm outa' there (much more often than I would prefer ---
#>God I
#> > ain't). Bob has some cogent comments about this, which reduce down for me
#>to
#> > "Plan your trades, and trade your plan." I can guarantee you that when I
#>start
#> > messin' with my plan during the day, generally as a result of my
#>perception of
#> > what has transpired for better or worse with my trading earlier that day,
#>I am
#> > colluding with my own prospective failure. For me at least, I just don't
#>have
#> > what it takes to both think and trade, and when I try to do both, I shoot
#>myself
#> > in the foot and will soon (altogether too soon) regret my extravagance.
#>Another
#> > lesson that has been hard for me to accept, and I'm still working on it.
#> >
#> > 3. Trading selected hours. In my experience, there is more opportunity
#>for
#> > profits available for trading during the first and last hour or two of the
#> > market day than during the middle of the day (the "noon balloon"). No
#>wonder,
#> > all you have to do is spend a day or two on the floor and watch its
#>population
#> > fluctuate during the day. It's packed at the open, and after an hour or
#>two,
#> > sometimes you could roll a bowling ball from from one side to the other
#>and not
#> > hit anyone. Then the guys come back from lunch for the last hour or two
#>before
#> > "quittin' time." If I were looking for larger moves, these would be the
#>times
#> > that I would look for them.
#> >
#> > 4. Trading selected days. In my experience, it pays to be at my desk
#> > especially on Mondays and Fridays as opposed to other days of the week
#>(Goldspan
#> > days excepted, among others). If I were looking for larger moves, these
#>(and
#> > Greenspan days, among others) would be the days that I would look for
#>them.
#> >
#> > 5. Developing ways to discern, upon the initiation of a move, whether the
#>move
#> > will peter out after 3-5 points or extend further.
#> >
#> > 6. Developing ways to discern, after a move has gone 3-5 points, whether
#>it
#> > will now peter out or extend further.
#> >
#> > Frankly, I find entries more problematic than exits. The exits just seem
#>to pop
#> > out at me. It's the entries that I struggle with. I continue to attempt
#>on
#> > entry to buy the bottom tick or two or sell the top tick or two. I gotta
#>get
#> > over that. I'm driving myself nuts with it.
#> >
#> > Lastly, I was surprised to read that you identified yourself as "an S&P
#>...
#> > trader", in the sense that I was surprised to read that you are trading
#>the S&P
#> > and curious why you had not switched to the S&P E-mini. I guess I am
#>going to
#> > expose my naivity and ignorance here. In my experience, my (what I have
#>come to
#> > see as a long overdue) shift from trading the S&P to the S&P E-mini has
#>been
#> > nothing but positive. Perhaps you trade much more size that I or have
#>other
#> > reasons for doing so. Although I traded very little, I used to trade the
#>S&P
#> > through a commercial/wholesale desk that routinely traded 100s and
#>occasionally
#> > 1000s (I can remember standing in back of the head of the trading desk
#>when he
#> > sold 1000, old $500 contracts during a fast market down and his worst fill
#>was
#> > half a point off his desired price) --- my max was 10-lots, which was
#>very, very
#> > seldom; my usual was onesies and, if I was really feeling my cojones,
#>twosies.
#> > That desk gave me what seemed to me to be great service at reasonable
#>rates
#> > ($17/car). To my surprise and increasing pleasure, all in all (speed,
#> > commissions, fills, relative absence of human interaction, etc.), I have
#>come to
#> > prefer my experience with the E-mini and electronic trading relative to
#>open
#> > outcry trading. Would you be willing to tell me what keeps you trading
#>the S&P
#> > as opposed to the E-mini? Maybe you are a member or a lessee?
#> >
#> > Sincerely,
#> >
#> > Richard
#> >
#> >
#> > Rich Tuchow wrote:
#> >
#> > > I am an S&P day trader and keep going back and forth in my mind my exit
#> > > strategy. There are 2 schools of thought 1)let profits run 2)don't try
#>to
#> > > be a pig on every trade. It seems that every time I grab the 3-5 point
#> > > profit the trade goes on to 10-15 points and every time I let profits
#>run,
#> > > the 3-5 point profit disappears. I am not particularly found of
#>trailing
#> > > stops because you have to be willing to give back a fair amount of
#>profit.
#> > > Others use a staggered exit strategy such as take 1 contract off at 3
#>points
#> > > another at 5 another at 8 etc.
#> > >
#> > > I would be interested in hearing only from successful S&P day traders
#>which
#> > > school of thought they follow.
#> > >
#> > > Thanks
#> >
#
#
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