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This does happen occasionally and is a legitimate reason to be aware of
where large clusters of resting orders a likely to be placed. This is
almost always obvious on the charts (usually around pivots, inter-day
highs, lows and previous days highs and lows).
However, I beg to differ with the comment that the mini is not yet ready
for the big time. It is the future and the floor knows it. The fact that
some on the floor have figured out yet another way to "leverage" their
advantage at the expense of off floor traders is not surprising but is part
of the reason electronic trading will eventually dwarf the pits as markets
(information) truly open up and the field is made a bit more level for all
participants.
Right now the occasional outlying spikes that occur in the mini are an
inconvenience but in the bigger picture the mini consistently provides
better liquidity at all price levels and in all market conditions over the
big contract. Also, if these spikes increase in frequency they will be
providing the alert off floor with an identifiable and profitable
opportunity!
Regards,
Tom Alexander
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From: Ira <ist@xxxxxx>
To: Real traders <realtraders@xxxxxxxxxxxx>
Subject: E-mini
Date: Tuesday, June 29, 1999 10:22 AM
If this is true or not I can't say. It was sent to me by a friend and I
thought that it might be of interest to the group. Ira.
Subj: Fw: (fwd) Re: Electronic Trading
Date: 6/28/99 3:24:15 PM Pacific Daylight Time
FYI
sorry, but the e-mini s&p is not ready for the big time and the merc
knows it. some ex-s&p 1 lot floor traders are now trading 25 and 50
lots on e-mini terminals and can easily blow thru stops creating large
multi-handle e-mini price spikes while the big s&p barely budges.
TJ
Just set up an indicator that alerts you when there is a large
discrepency between the S&P and the EMINI and jump in there to take
the other side of all or part of that large order on the EMINI. If
you're quick, you may be able to do enough of these off-floor arbs to
make it worthwhile, depending on the volatility.
Lifting the order limit would make the EMIni move even faster (if
that's possible) but would also allow more of the large firms to jump
in and eliminate the large discrepencies that sometimes occur between
the big S&P.
Patrick
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