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Right! e.g. Buy 1 NQ 1608.50 stop 1608.50 limit.
Works best only with online systems where the order is sent to rest on CME
servers, not held on broker's local servers (where the chance of not being
filled increases due to time lag in execution e.g. Interactive Brokers).
S.
At 03:10 AM 11/19/2001 -0500, you wrote:
>If I understand how your using the stop limit orders, You are setting the
>Stop limit and max limit equal to the same price. I never thought of trying
>that. Please correct me if this is wrong.
>
>Jerry
>
> > -----Original Message-----
> > From: Simon Campbell [mailto:simtrader@xxxxxxxxxx]
> > Sent: Monday, November 19, 2001 2:39 AM
> > To: omega-list@xxxxxxxxxx
> > Subject: RE: Profit Taking --- Round 2 --- Other Alternatives
> >
> >
> > 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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