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How many contracts can you trade before affecting market in CL and GC markets?
Started: by acdrew0 Views / Replies:12,350 / 57
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How many contracts can you trade before affecting market in CL and GC markets?

  #31 (permalink)
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pepelucho View Post
sure, no prob.

To be clear, I've only traded up to 3 contracts, it remains to be seen how true the trading is to the backtest once I reach something like 10 or 20. I'm guesstimating that I might incur a 10% hit vs the backtest once Im up to those number of contracts, but given that the system should be pulling in 180K/year at 10 contracts, I can live with a 10% hit.

If I were you, here is what I would do:

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.

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  #32 (permalink)
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kevinkdog View Post
If I were you, here is what I would do:

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.

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  #33 (permalink)
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I never said you...



pepelucho View Post
I don't understand why there is this attitude that someone should just share or give away their hard work for others to profit from.

I've spent over 6 years adjusting and perfecting this system, getting it to be as profitable as it is now. There is a limit to how many contracts can be traded with this system, which I haven't discovered yet. There is just absolutely no reason why I should just give it away to my detrement. Does Coca Cola share their secret formula ?

What I can share, is my knowledge from the experiences I have learned of going down this road. No one here who has a viable working profitable system is going to just give it away. Be realistic.

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 03:30 PM.
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  #34 (permalink)
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wldman View Post
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.

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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  #35 (permalink)
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acdrew0 View Post
How many contracts can a short term trader enter in general without affecting the way the market moves in the CL and GC markets?

I have been given advice by people who taught me that the forex markets can easily tolerate 10-20, maybe more. So that is what I have been following for those markets.

But then I saw the market depth numbers on my matrix(I use tradestation) on the CL and GC markets and they seem to be significantly lower than the forex ones like euro or pound. Sometimes almost 3-4 times less.

I thought this was strange seeing that the daily volume of gold was comparable to the forex markets, also the crude oil daily volume was usually quite a bit more than the forex markets.

Does the gold and crude oil market depth have some type of multiplier that I am not aware of? Do they differ in the "safe" amount of contracts possible to trade short term without affecting the market much?

CL is doing more than 60k contracts a day, I believe market can easily take it with 50 to 100 contracts, please correct me if am wrong, am new to CL.

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  #36 (permalink)
ribs
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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.

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  #37 (permalink)
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Isn't slippage on CL do to speed?

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  #38 (permalink)
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pepelucho View Post
I disagree, I have a strategy that on average takes 30 to 40 ticks of profit or 15 ticks of loss, and trades about 1 to 3 times a day, which generates 300% per year, and I do worry about what will happen as I start increasing number of contracts.

and I'm not a millionaire...

You start increasing the numbers, then you will get the answers: either the market or your account should be affected

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  #39 (permalink)
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MeanBean View Post
Isn't slippage on CL do to speed?

Ya, my broker told me it is due to my ISP speed, it's nothing to do with slippage.
But I don't know how true it is.

Maybe this is industry practise.

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  #40 (permalink)
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Itchymoku View Post
If you make 300% a year and can prove it contact me via pm, I'll give you money to trade with.

So will a lot of people if you have a two year track record of doing that.

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