1. Develop a set procedure for measuring slippage/performance, etc. Sounds like you already have this for 1 contract.
2. Keep recording this real time as you add contracts. At some point, you may notice your performance suffers. Back off a bit and there is your maximum contract threshold.
3. The threshold today might be different in 6 months, so keep monitoring it.
4. Once you find the threshold number of contracts, you'll have to look at time and sales to get an idea of how to fix it. For example, maybe you present a large order, and an algorithm takes advantage of you, before price goes back to normal. In that case, you probably could survive breaking your order up into pieces. If your big order forever changes the market, then you might just stay "below the radar" with your contract size.
thanks for the input, that's pretty much what I've been doing... keeping a very detailed trade log that includes slippage and whether or not it affected the P/L for the trade... nothing significant has happened up to 3 contracts. I'm laying low with 1 contract until after Jan due to the low volume/volatility of CL at the current moment.
or anyone else should share anything. That is totally up to you.
No, Coca-Cola does not share their formula. However, Coke nor their employees read posts or make posts indicating how good Coke is in a forum of individual home brew soft drink makers. Mike's post in here should make even more sense now.
Your six years of work has got you in a position using a fail safe 300% per year method that you are trading three up in a single market on a single time frame experiencing minimal slippage....freaking fantastic man. Celebrate that.
My advice to you would include: given the above referenced comment, do not ask or be concerned with what futures.io (formerly BMT) members might think about how many contracts you can get off at the inside... or anything else for that matter. Try 4 contracts then 5 until you are where you want to be. Nobody here, after all knows your system, how or when you are trading or even what time frame your method uses....much less what type of market condition might apply generally during the hours you trade. I'm not judging, so forgive me in advance. I need to share my personal perspective and wonder how someone that has/knows what you do would even ask that question because there are certain items implicit in the asking that simply do not fit logically or empirically with the rest of the statement.
Nothing personal as I certainly don't know everything or much about anything. But you did ask me specifically to respond to the quoted post, right?
I post trades and trade indications all the time with explanations and visual details. Nobody has ever asked for the "secrets" of my "system". My reluctance to give every detail would more likely be born out of the time it takes to cultivate a forum following, the idea of which is not important to me as I trade for one reason...to turn other peoples money into personal income taxes for the gubment.
Last edited by wldman; December 10th, 2012 at 02:30 PM.
I asked because that's what I figured such a forum was for, getting information that others might have ahead of you. Yes, I'll eventually figure it out, and when I do, I'll be glad to share slippage info. But I'm not going to share the inner workings of my trading system.
Also, for those who insinuated that I was boasting, it wasn't boasting, merely pointing out that successful trading systems are possible to achieve.
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When I put on 100 lots in demo or replay I usually see it fill for at least 20-30 contracts if not more with a limit
order. I'm not sure how that would affect the market. If you're using a market order of 100 contracts I'd definitely say you're going to see some slippage or funny business by at least a tick or two if not more. I've seen oil do some weird stuff in my time like stop me out 5 ticks outside of my stop loss on just one contract.