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How many contracts can you trade before affecting market in CL and GC markets?
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How many contracts can you trade before affecting market in CL and GC markets?

  #1 (permalink)
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How many contracts can you trade before affecting market in CL and GC markets?

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?

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  #3 (permalink)
ribs
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I'm pretty sure 10-20 contracts is fine even for scalping a few ticks

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  #4 (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.

Snip...

I'm wondering how exactly do you translate the market depth information into a number of contracts that you can safely trade without affecting the market ?

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  #5 (permalink)
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pepelucho View Post
I'm wondering how exactly do you translate the market depth information into a number of contracts that you can safely trade without affecting the market ?

Thats exactly my question too. Currently i build the mean volume at the underlaying bar type +/- 3-5 bars from historical data set (same weekday / same time slot) and adjust my volume up to 25-80%. But i think that the market depth information could be a more valuable source (but false quotas / spoofing could be an problem).

Koepisch

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  #6 (permalink)
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volume matters

it should be noted also, that this will depend on the volume level when trades are placed. CL tends to have much higher volume in the first 2 to 3 hours after the open, and like 1 to 2 hours before the close.

I have been trading CL for about 2 years now and haven't yet tried more than 3 contracts as I'm still perfecting my system, but from that experience, I think guessing 10 contracts is the threshold. I base this from watching the Times and Sales window in NinjaTrader which shows real time fills. From what I've seen, most fills are single contract, during large volume or large trades you'll see fills amping up, but generally they happen one at a time. Also a good 10 to 15 contracts will get filled before the fill price ticks either up or down. This is *generally*, it really depends on the time of day and how active the trading is.

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  #7 (permalink)
ribs
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Unless you're a millionaire there is no need to worry about this


Last edited by Itchymoku; December 10th, 2012 at 02:40 AM.
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  #8 (permalink)
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Itchymoku View Post
Unless you're a millionaire and solely rely on short term scalping you shouldn't worry about it. Regardless, Most scalping strategies that aren't time/sales or arbitrage related can be applied to larger time frames where you can drop hundreds of contracts.


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...

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  #9 (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 will then become a millionaire in a heartbeat
Congrats!

Successful people will do what unsuccessful people won't or can't do!
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  #10 (permalink)
ribs
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If you make 300% a year and can prove it contact me via pm, I'll give you money to trade with.

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