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Alberto Torchio wrote:
>
> Dear Listmembers,
>
> I have been trading several MIDAM contracts, mostly currencies, mostly on close, without
> suffering (until now) awful slippage.
> Now the question arises to trade Australian Dollar, since this is normally trading some
> 10 contracts daily.
> How safe is it? How safe is it when trading only on the close (market-on-close)? Would
> it be better to place a limit order nearing the closing time at a price a few ticks
> worse than the CME's?
> One further question. MIDAM currencies close some 15 minutes later than the CME: when
> the major market has closed is it still really possbile to trade the MIDAM?
>
> Alberto Torchio
> Torino, Italy
I can't answer directly about the AD because I have not traded that,
but I have done the midam CD and BP on a number of occassions (as
position trades). The slippage on a stop order is normally only 2-3
tics, probably not much worse than what you would get at the fullsize
contracts' exchange. Once recently i did receive about a 7 or 8 tic
slip on BP which was a little less than $20, since BP is a 1/5
contract. The price had moved up in a hurry but had had a small
retracement after going to my fill price before moving a bit farther.
On the other hand, I was short when the Canadian govt intervened a week
or two ago and got a good fill (1 or a couple tics as i recall) despite
the fact the IMM contract was a fast market. I have regularly traded
contracts thru the Midam which only have say 10-50 as volume; out of
probably 100 or more trades over 2 years I recall only 2 other instances
of disappointing slippage (both at the peak of the grain mkts of
1996.) My normal procedure is to enter on a limit order (placed before
the open) and exit on a stop. Havent' used market orders very often but
I assume fills/slippage should be similar to what I get on a stop
order. It appears that the Midam traders function almost as market
makers and are very fair about making the market reflect the main
contract.
As you are probably aware, the Midam contract do not trade at night on
Globex.
Conrad Bowers
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