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Trading mini euro ( E7) or micro euro (M6E) currency futures ???
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Trading mini euro ( E7) or micro euro (M6E) currency futures ???

  #51 (permalink)
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Linds View Post
wierd.... I was told directly by Mirus that they dont offer it. Ill try again. But it doesnt sound promosing in terms of tradability.

Despite what has been said above, I still believe the M6E is a great choice for beginners to trade cash while learning.

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  #52 (permalink)
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definitely agree

I have it running now and at a glance it looks better than E7 - spread seems a bit tighter

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  #53 (permalink)
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Linds View Post
definitely agree

I have it running now and at a glance it looks better than E7 - spread seems a bit tighter

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.

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  #54 (permalink)
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Linds View Post
definitely agree

I have it running now and at a glance it looks better than E7 - spread seems a bit tighter

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.

Attached Thumbnails
Trading mini euro ( E7) or micro euro (M6E) currency futures ???-6e.jpg   Trading mini euro ( E7) or micro euro (M6E) currency futures ???-m6e.jpg   Trading mini euro ( E7) or micro euro (M6E) currency futures ???-e7.jpg  

Last edited by monpere; January 5th, 2012 at 10:47 PM.
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  #55 (permalink)
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Time of day is critical

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monpere View Post
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.

@monpere and @lolu

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?

Attached Thumbnails
Trading mini euro ( E7) or micro euro (M6E) currency futures ???-m6e-03-12-60-min-6_01_2012.jpg   Trading mini euro ( E7) or micro euro (M6E) currency futures ???-6e-03-12-60-min-6_01_2012.jpg  
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  #56 (permalink)
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steve2222 View Post
@monpere and @lolu

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.


Last edited by monpere; January 6th, 2012 at 09:41 AM.
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  #57 (permalink)
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Big Mike View Post
So even if there is no liquidity advertised on the DOM, it will "come to you".

Thanks Mike and others in this thread for the M6E trading tips, especially the "coming to you"-price is worthwhile advice. Thanks!



Big Mike View Post
And don't trade news, the order book gets very thin around news as the m6e seems to be mainly bots (well, isn't everything) and very little retail so they dry up around news (you can see them pulling orders big time). I have heard about getting slipped 20 ticks or more.

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:

 
Code
             Date     Time    Bid    Ask SpreadTicks
221389   3-1-2012 11:15:03 1.2930 1.3000          70
136070 16-12-2011 20:30:58 1.3002 1.3037          35
136071 16-12-2011 20:31:15 1.3002 1.3035          33
136059 16-12-2011 20:29:11 1.3002 1.3033          31
136066 16-12-2011 20:30:38 1.3002 1.3033          31
136072 16-12-2011 20:31:20 1.3002 1.3033          31
221390   3-1-2012 11:15:42 1.2970 1.3000          30
136060 16-12-2011 20:29:19 1.3002 1.3031          29
136067 16-12-2011 20:30:46 1.3002 1.3031          29
136073 16-12-2011 20:31:26 1.3002 1.3031          29
221388   3-1-2012 06:09:08 1.2950 1.2978          28
121907 15-12-2011 21:05:22 1.3002 1.3029          27
136061 16-12-2011 20:29:22 1.3002 1.3029          27
136064 16-12-2011 20:29:27 1.3002 1.3029          27
136068 16-12-2011 20:30:50 1.3002 1.3029          27
248503   5-1-2012 14:30:03 1.2833 1.2860          27
85507  13-12-2011 14:30:20 1.3171 1.3197          26
136257 16-12-2011 21:29:47 1.3011 1.3037          26
121889 15-12-2011 20:56:51 1.3002 1.3028          26
121892 15-12-2011 20:59:56 1.3002 1.3028          26
121894 15-12-2011 21:02:31 1.3002 1.3028          26
121896 15-12-2011 21:02:34 1.3002 1.3028          26
121898 15-12-2011 21:02:46 1.3002 1.3028          26
121908 15-12-2011 21:05:23 1.3002 1.3028          26
136065 16-12-2011 20:29:29 1.3002 1.3028          26
136069 16-12-2011 20:30:53 1.3002 1.3028          26
248504   5-1-2012 14:30:03 1.2834 1.2860          26
108544 14-12-2011 21:14:25 1.2972 1.2997          25
108789 14-12-2011 21:29:35 1.2969 1.2994          25
121890 15-12-2011 20:57:19 1.3003 1.3028          25
121933 15-12-2011 21:18:25 1.3003 1.3028          25
130080 16-12-2011 14:27:29 1.3066 1.3091          25
136226 16-12-2011 21:15:50 1.3016 1.3041          25
160275 21-12-2011 11:22:54 1.3198 1.3223          25
248493   5-1-2012 14:29:55 1.2835 1.2860          25
248495   5-1-2012 14:29:56 1.2835 1.2860          25
248505   5-1-2012 14:30:04 1.2835 1.2860          25
136190 16-12-2011 21:01:09 1.3014 1.3038          24
108791 14-12-2011 21:30:01 1.2969 1.2993          24
121891 15-12-2011 20:57:51 1.3004 1.3028          24
121899 15-12-2011 21:02:47 1.3002 1.3026          24
121905 15-12-2011 21:04:17 1.3001 1.3025          24
121934 15-12-2011 21:18:26 1.3004 1.3028          24
130084 16-12-2011 14:27:57 1.3066 1.3090          24
136227 16-12-2011 21:15:50 1.3016 1.3040          24
136289 16-12-2011 21:40:09 1.3016 1.3040          24
248494   5-1-2012 14:29:55 1.2836 1.2860          24
136151 16-12-2011 20:56:05 1.3013 1.3036          23
136191 16-12-2011 21:01:12 1.3014 1.3037          23
108543 14-12-2011 21:14:08 1.2974 1.2997          23
(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:

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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.
 
Code
data:  spreadDF$SpreadTicks 
t = 91.2613, df = 267872, p-value < 2.2e-16
alternative hypothesis: true mean is not equal to 2 
99 percent confidence interval:
 2.223788 2.236788 
sample estimates:
mean of x 
 2.230288
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;
  • 1% of the bid/ask spreads were at least 5 ticks.


Last edited by Jura; January 7th, 2012 at 09:09 AM.
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  #58 (permalink)
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Jura View Post
  • There are occasionally huge bid/ask spreads in M6E, especially in the week or so before expiration and on low volume days;
  • 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;
  • 1% of the bid/ask spreads were at least 5 ticks.

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.

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  #59 (permalink)
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vegasfoster View Post
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.

Hi VeganFoster,

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:

 
Code
    Average StandardDeviation Median Min Max ConfIntLow ConfIntHigh     n
6  3.353610         0.9741583      3   1  28       3.32        3.39  3255
7  3.265237         0.8964290      3   1   6       3.24        3.29  6760
8  2.680153         1.0054939      3   1   7       2.66        2.70 12531
9  2.515083         0.9827584      2   1   9       2.50        2.53 18531
10 2.571402         1.0476786      2   1  16       2.56        2.59 15868
11 2.666556         1.4062266      2   0  70       2.65        2.69 18024
12 2.274799         0.9947657      2   1  14       2.26        2.29 17995
13 2.081000         0.8132474      2   1   6       2.07        2.09 17642
14 2.014133         1.2796913      2   1  27       2.00        2.03 23704
15 1.963121         0.9262828      2   0  17       1.95        1.97 27902
16 1.872423         0.8186602      2   0  16       1.86        1.88 29441
17 1.963952         1.2226252      2   1  20       1.95        1.98 22248
18 2.058427         1.0890013      2   1  17       2.04        2.08 16020
19 2.059739         1.3476856      2   0  20       2.04        2.08 12722
20 2.196992         2.2307986      2   1  35       2.16        2.24 13163
21 2.306743         2.5338496      2   1  27       2.26        2.35 11834
22 4.313305         4.4032359      2   1  18       3.74        4.88   233
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.

Attached Files
Register to download File Type: 7z M6E_BidAsk.7z (495.2 KB, 8 views)

Last edited by Jura; January 7th, 2012 at 10:39 AM.
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  #60 (permalink)
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steve2222 View Post
@monpere and @lolu

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?

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?


Last edited by monpere; January 7th, 2012 at 01:15 PM.
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