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System built on 6E but Trading on M6E

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Market Wizard
Cleveland Ohio/United States
Trading Experience: Advanced
Platform: Tradestation
Broker/Data: Tradestation, DeCarley, others
Favorite Futures: futures
Posts: 2,632 since Jul 2012
Thanks: 1,356 given, 5,031 received

treydog999 View Post
I built an automated system on 6E but am considering executing on M6E due to lower risk. I have a smaller account and I have never brought a system live before. I was wondering if anyone had any thoughts about the discrepancy between pricing, 6E may print some price but M6E may not. Would that be a major factor? this system took into account full tick slippage in 6E and full commissions/ margin, so i am guessing it would perform fine in M6E. Also what about using 6E for calculation and set up and then just execute the order in M6E?

Why don't you keep the signals based on 6E, and then just execute the trades with the M6E? Then your signals would match any testing you did on 6E. Your slippage and commissions would not match backtest, though. But, this scenario is better than getting signals from illiquid M6E.

The problems you face with the smaller contract:

1) Volume is a lot less, so that means limit orders will be tougher to fill, and stop orders will slip more.

2) Commissions, percentage wise, will be a bigger portion of your profits, since they do not scale down.

3) The bid ask spread at any time will likely be greater than 6E, so plan on paying more in slippage.
Example: If you trade E7, the mini Euro (half size), 60-70% of the time the spread is the same as the 6E (1 tick). But, the rest of the time, the spread is double (2 ticks). Depending on your strategy, you may turn a profitable one into unprofitable with the extra spread. With M6E, the spread might be 3 or 4 times as large as the regular contract.

Honestly, though, your best bet is probably to wait until you get enough capital to trade the 6E, or at a minimum the E7. Otherwise, your risk of ruin is much higher, and you may blow out before you ever have a chance to see if your system works.

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