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Does Size Matter (Futures)
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Does Size Matter (Futures)

  #1 (permalink)
Trading Apprentice
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Does Size Matter (Futures)

I trade /CL, and I was wondering how big you can go as a scalper, before you run into order flow problems, or moving the price. Can you realistically enter and exit 50/100 lots on market for 10-20 tick scalps? I've read a lot of blogs where guys are day trading /ES and /NQ at 100-200 lot sizes, but I can't find any articles on /CL.

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  #2 (permalink)
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  #3 (permalink)
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You shall look at the level 2 (Market Depth) data and see how many contracts per average sit on each level either sides of the BID&ASK on your particular day and time of the day you intend to enter the market.

There is no real golden rule for each instrument, as some very deep markets like ES or ZN can also get virtually dry before an important news release, or during low volatility or holiday periods.
I've seen as low as 150 to 300 contracts per price level on ES just before an important news release versus the usual 2000 and more contracts per price level on average.

I do not follow CL that actively to remember all the figures, especially as of late and with the large drop in price we're experiencing on energy; but from the top of my mind I don't recall seeing more than 20 to 50 contracts per price level in the past.
Also, CL moves very fast, and levels and contracts offered at each level are very volatile as participants place and retreat orders continuously and very often throughout the day.

So always check the current available size before placing your order

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  #4 (permalink)
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There are people that trade 50 lot clips in CL, but they more often than not iceberg their order showing between 3-5 at a time. They don't want to show their hand so to speak.

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  #5 (permalink)
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US Bond Trader View Post
There are people that trade 50 lot clips in CL, but they more often than not iceberg their order showing between 3-5 at a time. They don't want to show their hand so to speak.

Yes, there is so much front running size in crude oil that most big traders try to hide the size of their orders from the HFTs, who are very quick to sniff out size on either the buy or sell side. It is a really tough market to trade short term with size. It is basically only a scalpers market for those trading small. For institutions, crude oil is not liquid enough to daytrade.

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  #6 (permalink)
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ES has an order cap of 250 cars per order. Don't know if CL has such a cap.

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  #7 (permalink)
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Guys that trade size won't show their full clip size on the DOM.
But you can spot icebergs if there are hidden orders on a level, and gauge the approx max size in CL.

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  #8 (permalink)
Market Wizard
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fcb98292 View Post
ES has an order cap of 250 cars per order. Don't know if CL has such a cap.

If it does it's greater than 500


EthanC View Post
Guys that trade size won't show their full clip size on the DOM.
But you can spot icebergs if there are hidden orders on a level, and gauge the approx max size in CL.

Just curious, but how?

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  #9 (permalink)
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SMCJB View Post

Just curious, but how?

If you're on TT/CQG/Jigsaw, you can see it.

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