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Good summary. I would add two comments. First, those spikes which are
unique to the e-mini are a very useful indicator of a reversal and can
be used to enter in the opposite direction. Second, for each 5 lot of
e-mini, a stop can be placed in the SP pit as the ES/SP is offsetable in
5 lots. I would note that the total execution cost (commissions + spread
+ slippage) of a 5 lot in the e-mini can be lower that a one lot in the
pit and the increased number of contracts allows more flexibility in
scaling in and out.
Earl
----- Original Message -----
From: "Dennis Holverstott" <dennis@xxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Tuesday, January 11, 2000 9:23 PM
Subject: [RT] Re: GEN: globex limit orders
> > Is there a book or someone around who could discuss the tactical use
of
> > limit and stop limit orders when screen trading globex minis?
Something
> > detailing nuances and ramifications and consequences of the use and
misuse
> > of these orders. Most efficient way to scratch. Best tactics for MM
stops.
> > Looking for something more substantial than "a limit order is for
your price
> > or better."
>
> You won't find this stuff in any book but here's some of what I've
> learned about the mini in my graduate program at the school of hard
> knocks. I love those minis but you can't trade them the same way you
do
> the pit S&P.
>
> Short version:
> Limits good, stops bad.
>
> Long version:
> Check out the gif of ES (the mini) and SP (the big) Monday morning.
> That's no bad tick. The mini really spiked down there. If you had had
a
> sell stop order sitting 5 or even 10 big points below the market, you
> would have been filled at a horrible price in the mini but not at all
in
> the big. There are guys sitting at Globex terminals just itching to
gun
> your stops.
>
> On the other hand, limit orders are much more democratic and fills are
> much quicker in the mini than you could ever get in the pit. Globex
> processes the orders first come first served and a little one lot guy
is
> treated just as well as a big hedge fund manager. The computer doesn't
> know who you are. If your order gets in first, you get filled first.
> That's why I like it so much.
>
> Just gotta use a lot of care with stop orders. Either watch the screen
> all day with mental stops and exit at the market or accept that, once
in
> a while, you are going to get hosed.
>
> In a way, this ties in with the earlier thread about what happens if
the
> specialist system in stocks goes away. On one hand, a little guy can
get
> more fair treatment. On the other hand, there can be some nasty spikes
> if there don't happen to be any bids when you want to sell. On
balance,
> I'd prefer a true electronic open auction to the specialist system.
>
> --
> Dennis
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