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Alberto Torchio wrote:
>
> Conrad,
>
> Thank you for your contribution.
>
> > 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.
>
> Since mine is to enter on the close I hope your assumptions are right. Anyway I could
> try both procedures: market-on-close or a limit order placed near the close a few ticks
> worse than the CME's price.
>
> Are you a MIDAM member?
>
>
No not a Midam member, just a small retail trader.
I looked at recent AD data; it does appear to have a volume on the
lower end (5-10) compared to the illiquid ones I have traded (10-50).
But really *both* volume ranges are extremely illiquid yet the ones I
trade have given me good fills almost without exception. I might hold
my breath the first few times but I believe I would try the AD if I
followed it. I currently stay away from are the ones with virtually 0
trading - tbills, and one of the note contracts for example. Altho the
next group has at least a little volume, I have not traded midam ED,
platinum, silver. I have a hard time justifying a halfsize ED. I'd
consider platinum tho my broker is skeptical. On silver the CBOT 1000
oz contract is slightly more liquid (but has weird months). On gold I
believe the Midam has the edge of CBOT's so I use Midam not CBOT kilo.
My broker likes CBOT better so I take their suggestion on silver, but on
gold I've chosen midam due to slightly higher volume and better price
correlation to the "big" contract.
I attribute the quality of fills largely to whoever takes the other side
of my trade (probably the locals). However, further credit may be due
to Jack Carl's floor broker(s) also. It's my understanding that the
Midam is one big happy pit, not an individual one for each commodity.
Since most of the activity is in bonds, it's conceivable that a floor
broker who was innattentive to the other markets could cause you to get
lousy fills due to delay.
It's probably obvious commissions take a bigger relative bite out of
your potential profit on the smaller contracts. I suggest if you have a
testable strategy, that you run it with a proportionally higher
commission and see if it still makes money. I did one study using
published trades of a fairly active commercial system. I included
mostly agriculturals (1/5 to 1/2 size) plus gold (1/3), BP (1/5), and CD
(1/2). The performance for the Midam portfolio was considerably less
but was still + (30% ROI instead of 80% [very hypothetical #'s but the
comparison should be valid]) . However, increase the commission to much
more than $30 or increase the slippage, and the Midam results went to
approximately breakeven, while the fullsize ones had more room for
expenses.
Due to the fact that the currencies are 1/2 size (except BP), and with
their tendency for fairly big moves, I would think the smaller size
would be somewhat less of an issue than say with the 1/5 size ag
markets, particularly corn and oats.
Since someday I may want to trade the midam AD, let me know how it goes,
please.
Oh, in answer to a prev. q., I don't believe I have traded in that last
15 minute "extra" part of the midam session. It seems like the Midams
settle exactly at the close of the big contract, so I wonder if that
would be a good way to get a fill at the closing price. OTOH, in that
last 15 minutes the main mkt is closed so the linkage/arbitrage between
the two would not be functioning so there might be anomolies?
Conrad Bowers
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