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You are right-on about the e-mini. While the s&p continues to have the depth
in open interest and the ability to handle orders for thousands of contracts
typical in the pit, the e-mini is now something over 3 times the ticks
(trade tickets) of the s&p. Because the e-mini is electronic, the real-time
data leads the hand-entered s&p by several seconds. Also the b/a in the
e-mini is accurate while the b/a in the s&p is useless. I found I could
trade 5-lots in the e-mini for less total cost (commission + slippage) than
a round turn in the full s&p.
The only negative with the e-mini is that there does not seem to be enough
depth in the electronic order book to prevent stops from being run in
conditions of high volatility. I have often seen 10 point spikes in the
e-mini (not confirmed in the s&p) which clear stop orders just before a
major move in the other direction. In fact, I have used those spikes as a
signal to put on extremely profitable trades in the opposite direction. In
order to serve the smaller traders who use the e-mini, the CME needs to take
action to cause the e-mini to automatically arbitrage against the s&p when
such large disparities occur, however I would not hold my breath. In the
meantime, be careful in using e-mini stops when the market is highly
volatile.
Earl
----- Original Message -----
From: Tom Alexander <gta3@xxxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Sent: Wednesday, May 05, 1999 7:10 AM
Subject: Re: fut:e-mini
> Stops (as well as stop limits) can now be used in the mini. It is indeed
> quite risky to use a stop limit order as a protective stop on an open
> order. MIT (market if touched orders) are not yet available and I have not
> heard that they will be.
>
> The mini has evolved into an excellent trading vehicle as a proxy for the
> S&P. The commissions have come WAY, WAY down and with the S&P trading at
> such high levels the argument that one can not make enough money trading a
> mini or two just doesn't hold water. Also, the liquidity is excellent and
I
> have found it to be more liquid than the S&P. I know if you look in the
> paper you will see more volume for the S&P, but there is a difference
> between liquidity and volume. A lot of that volume you see in the S&P is
> comprised of 20 lots, 50 lots, 100 lots, 1000 lots, etc. The volume in the
> mini at each price level during the trading day is very active and there
> are less "air pockets" where nothing is bid/offered for two or three
> handles. The fills on every type of order in the mini have been excellent
> and almost instantaneous. None of this gut wrenching "I'll check to see if
> you were filled" stuff while the S&P jumps six handles in a fast market.
>
> Regards,
>
> Tom Alexander
>
>
> ----------
> From: POMPATIS@xxxxxxx
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Subject: fut:e-mini
> Date: Tuesday, May 04, 1999 6:16 PM
>
> Greetings:
>
> I would appreciate some input from those of you who trade or have traded
> the
> e-mini on globex2.
>
> My questions/concerns are regarding the way orders must be entered. For
> instance, a stop loss order must be entered with a limit price correct?
> Isn't this a little dangerous - if the market shoots past your limit price
> your stop loss order is not filled and becomes a resting order correct?
>
> Also, if i wanted to enter on retracements, it seems there is no way to
> emulate a market if touched order. only a limit order can be used, and in
> this case one may not know if one's order was filled for some time.
>
> Any advice and input regarding globex2 and the e-mini and the placing and
> filling of orders would greatly be appreciated.
>
> uneducatedly yours,
>
> K. Miles
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