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Is there a direct volume relationship between minis and CL?
If you're seeking to spread your order out among concurrent instruments, is it effective to take volume/contracts away from CL and put them in minis?
Or is a mini, simply half a CL contract that the broker then pairs and executes a corresponding order on CL?
I guess what I'm saying is that if I'm trying to reduce slippage by reducing order size, would it be effective by simply paying the extra commissions and purchasing 2 minis (for every CL contract) in an effort to spread the load over 2 instruments? I.e. half the order on CL and the other half on minis?
Can you help answer these questions from other members on NexusFi?
QM moves like CL, but has very low volume, you can have some problem to get filled, and its minumun fluctation is 0.025 so 1 tick every 2.5 tick of CL.
I also noticed that if there is a relation between 2 instruments, it tend to change over time. So it might be so for a few weeks to see it disappear for another few weeks.
I know for sure that HFT trade based on one instrument leading the other.
If you're getting too much slippage because your order sizes are getting too large to accomodate volume at certain times, would it help to move some of the order volume to minis?
What I'm afraid of is that an order of 2 minis would still end up resulting in a single order on CL, at which point it wouldn't be beneficial to split them, it would simply be better to pay less commissions with the full order on CL.
At what time? Yeah, I could put in a 500 car trade during certain conditions that would fill easily.
I'm talking about off peak hours and the volume action associated where even 2 or 3 contracts gets enough slippage to make me wonder if it's not better to buy 1 CL contract and 2 minis or just continue with 2 contracts on CL.
By the way, I'm not using limit orders, I'm using market orders (for now) for simplicity, limit orders present all sorts of challenges with automated systems.
Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
What time are you referring to when you say off peak hours? I never trade after RTH for this very reason, the spreads are typically 2 - 4 ticks wide on average and market orders are going to get fills consistent with those spreads. If you watch QM after hours, you'll see the DoM has a little more volume showing on it.
I would venture to say QM is quite different then CL in that the number sequences are different. For example, you enter a market order on QM which fills at 112.075 while watching CL. Your trigger price on CL is 112.05. You're already down 2 - 3 ticks essentially not to mention QM often has a 1 -2 tick spread. If, the market pulls back and you take some heat, the chances of your stop getting hit (not sure what you would use) are much greater. Of course you can trade QM successfully but I view it as more of a hedge vehicle than an outright traditional trading instrument.
I'm a firm believer in trading the CL contract. 1 CL contract vs 2 QM contracts gives you the following advantages:
1. Your commissions are obviously going to be lower.
2. You have more wiggle room to let your trade work out (more tick room).
3. During RTH, CL is far more efficient on fills than QM. This goes for stop orders as well. I would imagine the same applies for the European Session.
Thanks for the replies, but I'm not sure everyone is grasping the question.
I understand the advantages of CL over minis. I don't trade minis.
I understand that you can trade a large order volume on CL (during certain time intervals).
The problem is A) I'm using market orders, not limit orders, so slippage is more a factor for me and
B) I'm not liking the slippage I'm seeing during some off peak hours and
C) My particular strategies would be pretty limited if I stick to only high volume times.
I'm not saturated yet, but I'm trying to anticipate it and begin the process of moving some volume into some concurrent/similar instruments.
I'm going to research what I need to start trading Brent and I was asking if there's a direct relationship between minis and CL.
In essence, does an order on minis (2 contracts) translate into a delayed order on CL. If that's the case, then spreading the volume across the 2 makes no sense whatsoever. If they're independent, then at some point, the slippage on CL (off hours) MAY be more taxing than the additional commissions of taking some of that load and putting it into minis.
I know all about how minis operate, my roommate trades them from time to time. I would not be trading minis based off a CL chart or metrics. I'd be trading minis based off the same strategy concepts on mini charts.
What I don't want is to take some load and move over to minis (to avoid slippage on CL) just to find out that an order (2 mini contracts) has the same effect on WTI on the NYMEX as an order of CL.
In essence, if I was going to trade 4 contracts of CL during off hours and eat 4 or 5 ticks of market movement, the thought was to take half (or some) of that and use the same strategy on minis to reduce the slippage during off hours.
I guess the simplest answer is to not trade during off hours....and I got that. But sometimes it's not that simple. I'm seeking less intrusive solutions....if it's an untenable option (moving volume to another instrument) then I'll be forced to re-examine my strategy timelines, but at least I'll know I've explored all options.
