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Trading mini euro ( E7) or micro euro (M6E) currency futures ???
Yes after my little hicup in post #29, I can confirm on Monday I had no problem with access to M6E via Mirus/ZenFire.
The spreads are very good, almost identical to 6E at the same point in time. I am only trading it with one car and have not had issues with fill in periods of reasonable activity on the 6E.
I am a chart trader, and so am very visual. Here's what the 6E, M6E and E7 look like on BetterRenko. All the gaps are potential limit no fills, jumped stops, and slippage galore.
I only trade M6E when there is good activity on the 6E.
You may have picked a bad time of the day for your illustration.
Attached suggests all the volume in 6E and M6E stopped about midday USA ET ie when London had basically closed.
By the way, I am familar with SbSRenko but not Better Renko - how do you end up with bars with just a dash? Given Better Renko are not time based, what determines that a bar opens and closes at the same price point and then moves to start the next bar?
I think just looking at volume can be deceptive. You can have an instrument trade 1000 contacts at one price, then skip 15 ticks and trade another 1000 contracts. That looks like a nice big bar with lots of volume on a 60 min chart, but if your stop loss was 5 ticks inside that 15 tick gap, you just got a slippage of 10 ticks on your exit, even though 2000 contracts traded. I would not even imagine day trading with market orders entries on such gap-y charts like this, unless you are looking for huge moves.
Thanks Mike and others in this thread for the M6E trading tips, especially the "coming to you"-price is worthwhile advice. Thanks!
Since December 6th, from 6am UTC + 1 [West-Europe time] till 10pm every day, I've added an indicator to my M6E chart in MultiCharts which collects the best bid and best ask in real-time and exports these to an txt file.
During this time period, there were 267.873 bid & ask updates. The average tick was 2.230288, the median bid/ask spread was 2.
However, the biggest bid/ask spread during this time period was 70 ticks (!) [note that since these ticks where collected in real-time, a misprint from MultiCharts, Zen-Fire or an erroneous trade can cause these values]. These were the biggest spreads:
(Substract 6 hours to convert these times to New York time)
As you can see, the biggest spreads where observed during 15-16 December, when the M6E December 2011 future expired and the M6E March 2012 became the front month. (So, I had to roll over quicker). I can't explain why there where some big spreads on January 5th and January 3rd, since these where normal, though low volume, days.Edit: On January the 5th at 14:30 UTC + 1 (8:30 am ET) the Jobless Claims were released. (So don't trade the M6E at that moment, since the spread was for some seconds before and after that report around 25 ticks)
If we exclude those very big spreads (since they were primarily caused by the roll-over) we'll get the following histogram:
As you can see, the most bid/ask spreads were 2 ticks wide. The long part to the right of the histogram are for the few trades that had higher than 7 ticks spread, but these can't be seen in the image because they're relatively few.
If we further look at the distribution of the bid/ask spread, the 75th percentile is 3 ticks, meaning that 75% of all 267.873 updates had a spread equal to or less than 3 ticks. The 90th percentile is 4 ticks; meaning that 90% of all bid/ask spreads had a spread of 4 ticks or less. That would also mean that 10% had a spread bigger than 4 ticks. Actually, the top 1% of the collected data had a spread of at least 5 ticks.
Judging from the t-test (see below), we can be very confident that the actual spread in M6E (during this time period) is more than two ticks. We can be sure for 99% that the actual average spread is between 2.223788 and 2.236788.
To summarize:
There are occasionally huge bid/ask spreads in M6E, especially in the week or so before expiration and during high-impact economic releases;
The average real-time spread from these 267.873 updates was 2.23 ticks;
The median, the value that occurred the most frequent, was 2 ticks;
75% of all bid/ask spreads were 3 ticks or less;
90% of all the bid/ask spreads were 4 ticks or less;
The large spreads all occur around approximately the same time, could you also sort by time to analyze for each of the three sessions, or upload the whole file? Thank you for your consideration of my request.
I don't have data for the whole Asian session, since I collected data from 6am till 10 pm (UTC + 1), so I only have full data forthe European and American session. However, looking per hour, these are the results:
Let's walk through a day:
During the European morning hours pre opening of London (6-7 am) (when only Tokio is open), the spread in the M6E is quite big with an average around 3,30 ticks.
Then, when the European futures market open at 8 am, the average spread drops to 2.5 - 2.6 ticks. It stays there till European 'mid day lunch', and after 13:00 (7am Eastern Time) the average spread starts dropping towards 2 ticks.
During 15-17 European Time (or 8-10 am Eastern Time), the average spread is below 2 ticks.
After the US Markets open (which happens at 15:30), the average spread drops below 2 ticks.
In the last two hours of trading of the American markets, the spread picks up a little to 2.30 ticks.
(Note that the average spread of 4.31 during the 22:00-22:59 hour only contains 233 data points, since I close MultiCharts every day slightly after 22:00. So, there's not enough data to say that the average spread during this hour is actually 4.31)
(The confidence interval in the above table was calculated with a significance level of 95% percent. In other words, we can be 95% sure that, judging from this data, the actual average spread lays between the confidence interval low and confidence interval high.)
Attached to this post is the source data on which the above analysis was performed.
Edit: if someone has a bid & ask file from the M6E with all the trading hours and best bid size and best ask size (so we can also look at how much volume there is for the given spread), add it to this thread, and I'll be happy to run it through R the next weekend.
Unlike other Renko implementations that preserve brick size by omitting price data, painting artificial bar close or open, or paint totally made up phantom bars to fill in gaps in price action, BetterRenko bars show only real price data, no artificial bar manipulations, bricks are created only if price actually traded through those prices. In the 6E chart the price action is smooth because price actually traded through every bar on the screen. On the other charts, where ever you see gaps on the chart means the market never traded there, the market just skipped those price levels altogether. So, you are screwed, if your stop market order was inside any of those gaps.
I have always traded with limit entry orders and stop market exit orders, so I may be missing some of the nuances of the bid/ask spread significance, but can't the bid/ask spread change 100 times without 1 single trade occurring? Am I missing the forest thru the trees, when I try to judge how an instrument trades by seeing how fluid the price action of actual trades looks on a chart? Is the conclusion from the spread data analysis, that the M6E can be traded with negligible slippage during the most active times?
