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Dear Gary,
As a largely onesy-twosy E-mini trader, I am curious as to the ultimate
liquidity of the E-mini market, and your comment leads me to think that
you would have far more experience with this than I. I would appreciate
any comments you would be willing to make on it. For example, how many
contracts can you get quick and current market fills on before your size
begins to suck up all the contracts at the current price and move the
market? At what size do you just know that you're going to see some
significant slippage simply as a result of your size? Is the E-mini
market so liquid that it can absorb a 50-, 100-, multi-hundred-contract
market order without blinking an eye? How might this vary over time and
days and other conditions? Is there anything in particular that you look
for in the market that leads you to believe that it would then be
particularly suitable for entering a large-size order? As you might
suspect, I am a little reluctant to personally undertake the appropriate
experiments to obtain data relevant to answering these questions, so,
given your experience, I'd like to learn more about your observations and
conclusions.
Sincerely,
Richard
Gary Fritz wrote:
> We trade large positions in the ES. In many cases we can get nearly
> the entire position filled at our stop price.
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