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CME 6E & 6B spreads


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CME 6E & 6B spreads

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  #1 (permalink)
 Chewy71 
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Hello everyone, here is my first post which is a question really.

I'm a spot FX trader of 4 years or so but looking to move to the Futures market. Primarily the Euro and Pound (6E & 6B).

The information i'm looking for is what are the spreads on the CME futures? I've a couple of demo acct's and they show 1-2 ticks of spread. The reason i ask is that a couple of proffessional traders have said their is zero spread on the Euro, yes thats ZERO spread during high liquidity periods. And not just for an instant in time but generally speaking the spread will be ZERO. Having looked everywhere i find nothing to back up this claim.

I would have thought all price quotes from CME should be the same for any broker with it being a centralised marketplace.

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  #2 (permalink)
 kbit 
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On 6e it's always been generally 1 tick on mine...except news events, off hours ....always better than forex anyway

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 vegasfoster 
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I only place market orders, but I believe the issue is that you may not fill. Barring lag, the price quotes and spread should be the same between brokers for futures. Commissions are not though, and consider that commission's will likely be higher for 6B on futures vs. spot because the contracts are 1/2 the size of the 6E contract. With IB, 125,000 units on GU is $4.02 a side, but 6B is $4.94 a side (2 contracts). EU commissions are considerably cheaper though. Also, if you chart trade, there aren't separate bid and ask charts for futures, so you don't have to account for the spread when placing your orders, which IMO is a good thing.

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  #4 (permalink)
Tundi
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During periods of high activity, say between 3:00 and 11:30 ET, the spread between bid and ask in 6E will generally be 1 tick. I have never seen a "locked" market (same price on both sides).

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 Eric j 
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Chewy71 View Post
Hello everyone, here is my first post which is a question really.

I'm a spot FX trader of 4 years or so but looking to move to the Futures market. Primarily the Euro and Pound (6E & 6B).

The information i'm looking for is what are the spreads on the CME futures? I've a couple of demo acct's and they show 1-2 ticks of spread. The reason i ask is that a couple of proffessional traders have said their is zero spread on the Euro, yes thats ZERO spread during high liquidity periods. And not just for an instant in time but generally speaking the spread will be ZERO. Having looked everywhere i find nothing to back up this claim.

I would have thought all price quotes from CME should be the same for any broker with it being a centralised marketplace.

A futures trade carries a commission payable to your broker to trade a contract and each contracts commission averages $4 - $5 . You are a fx trader so you understand how your dealer charges you a spread and you pay more accordingly to trade a larger amount of currency .

The spread is only the difference between the bid and ask and possibly what these traders are referring to is placing trades between the bid and ask (?) .

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 Chewy71 
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vegasfoster View Post
I only place market orders, but I believe the issue is that you may not fill. Barring lag, the price quotes and spread should be the same between brokers for futures. Commissions are not though, and consider that commission's will likely be higher for 6B on futures vs. spot because the contracts are 1/2 the size of the 6E contract. With IB, 125,000 units on GU is $4.02 a side, but 6B is $4.94 a side (2 contracts). EU commissions are considerably cheaper though. Also, if you chart trade, there aren't separate bid and ask charts for futures, so you don't have to account for the spread when placing your orders, which IMO is a good thing.

I cannot see how trading off a chart would make any difference to the bid/ask? Generally the Bid price is displayed on the chart and the ask line is hidden.

For example if i was to enter a market order long on Euro at say 1.3500 as displayed on my chart it would put me in at 1.3501 due to my spread being 1 tick. Now to come out the trade breakeven i would need to close at 1.3502 allowing 1 tick to cover commission. So in this example we have 1 tick of spread and approx 1 tick of commission to cover for BE trade.

As a spot forex trader on EU a variable spread of 0.4 to 1.2 pips plus 1 pip commission so my round trip to BE would be between 1.4 - 2.2 pips


So is a zero spread or "locked market" normal for futures? Can you get in and out the market for less than spot? In addition one thing i didn't take into account was data feed fees and charting costs. Spot FX is generally free in this regard. i.e. why trade futures over spot?

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 TheSeeker 
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Tundi View Post
During periods of high activity, say between 3:00 and 11:30 ET, the spread between bid and ask in 6E will generally be 1 tick. I have never seen a "locked" market (same price on both sides).


I've seen it but it's rare.

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 Chewy71 
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Seen a few different feeds now and they're all pretty much quoting the same price. So i guess it boils down to the usual when finding a broker... execution speed, no slippage & good liquidity, low commission.

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 Ryanb 
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At my account: Dorman, i have a 0 tick spread on the 6E.

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 vegasfoster 
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Chewy71 View Post
I cannot see how trading off a chart would make any difference to the bid/ask? Generally the Bid price is displayed on the chart and the ask line is hidden.

For example if i was to enter a market order long on Euro at say 1.3500 as displayed on my chart it would put me in at 1.3501 due to my spread being 1 tick. Now to come out the trade breakeven i would need to close at 1.3502 allowing 1 tick to cover commission. So in this example we have 1 tick of spread and approx 1 tick of commission to cover for BE trade.

As a spot forex trader on EU a variable spread of 0.4 to 1.2 pips plus 1 pip commission so my round trip to BE would be between 1.4 - 2.2 pips


So is a zero spread or "locked market" normal for futures? Can you get in and out the market for less than spot? In addition one thing i didn't take into account was data feed fees and charting costs. Spot FX is generally free in this regard. i.e. why trade futures over spot?


It's different, trade it and you will see what I mean.

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 Chewy71 
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OK, here is my latest understanding. The charts for Futures show us the last traded price unlike spot which usually shows the bid price constantly. There's always a bid and ask price on futures, usually 1 tick for 6E (I checked Dorman and they have 1 tick as well, see a couple of posts above).

So my conclusion at the moment is that the chart is showing where buyers & sellers are being matched giving the impression there is no spread.

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sureshhacker
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Which Broker has the 6E,6B contracts?. kindly let me know

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 Big Mike 
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Which Broker has the 6E,6B contracts?. kindly let me know

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 iqgod 
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Chewy71 View Post
I cannot see how trading off a chart would make any difference to the bid/ask? Generally the Bid price is displayed on the chart and the ask line is hidden.

For example if i was to enter a market order long on Euro at say 1.3500 as displayed on my chart it would put me in at 1.3501 due to my spread being 1 tick. Now to come out the trade breakeven i would need to close at 1.3502 allowing 1 tick to cover commission. So in this example we have 1 tick of spread and approx 1 tick of commission to cover for BE trade.

As a spot forex trader on EU a variable spread of 0.4 to 1.2 pips plus 1 pip commission so my round trip to BE would be between 1.4 - 2.2 pips


So is a zero spread or "locked market" normal for futures? Can you get in and out the market for less than spot? In addition one thing i didn't take into account was data feed fees and charting costs. Spot FX is generally free in this regard. i.e. why trade futures over spot?

Since the trading of a futures contract like 6E / 6B is on an exchange as opposed to the spot FX market, the standard chart plots the 'traded' price instead of the ask line or the bid line, which are not points on the chart.

A zero spread happens momentarily but I guess given the liquidity during non-news events the arb folks jump in and ask/bid goes back to a spread situation.

Why trade futures over spot?

Because then you are trading on a 'real' exchange and not for e.g. against your broker/dealer or are not at the mercy of artifically widening spreads etc. The difference (positive) is enormous.

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