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Trading the new CME E-Micro's (E micro) MES, MNQ, MYM, M2K and other micros
I think you are right! perhaps the FT71 AMA thread would have been better? Sorry, Mike, please correct that for me, or tell me how I may remedy my mistake.
Just cut/paste the post to AMA thread if you want FT71 to see it and/or reply to it. He monitors other threads but generally only replies in the AMA thread.
Anyone that voted "no" to the poll, would you trade it at 1/10th the size ($1.25/tick)?
I am guessing it wouldn't change the participation level much to go downward on tick dollar value. In fact I think participation might increase at 2.50 tick instead of 1.25/tick.
If it costs me say $5 round trip for an ES, then $1 round trip for $2.50/tick or $.50 RT for $1.25/tick is all same thing, I just have smoother control over my position in latter cases. I may pay more due to slippage, but with HFT more likely to increase than decrease (bringing liquidity) that may be less of a concern. I just hope the exchanges can give good pricing on Micro ES, but if not then yeah, Mike is right.
M6E and related don't have options, but there is little point, you can get the same greeks with options on ETFs like FXE. (and better liquidity) I assume Micro-ES would work the same way.
Separately, for giggles I put a 6E and M6E side by side in volume charts. To get them to look similar, the volume ratio is about 30:1. E.g. 3000 Volume for 6E looks a lot like a 100 Volume M6E. (At least this week.)
Guess what... The volume profiles are pretty much the same, but for those of us who look at Bid/Ask indicators, (Such as the Gomi toolset) the M6E looked a lot BETTER than the 6E.
I realize "better" is subjective, but especially with cumulative volume (GomCD or CDHA) you can really see when it gets bought up and sold off. This makes sense. Only speculators, albeit small ones, are in the M6E, whereas there is a lot more hedging and algos in the 6E, hence more noise.
That was not what I expected and I haven't looked at it for a long enough time yet, but I found it interesting nonetheless.
Lastly, I was messing around with the other M6 contracts, it looks like M6S (Swiss franc) is going the way of the dodo bird.
I would always recommend you chart the regular instrument (ie ES or 6E) vs the micro instrument. Your DOM can be the micro instrument but you should be concentrating your efforts on reading the price action and order flow of the regular sized instrument for most discretionary traders.
I think it would be better. I think the distance between contract price/tick should be a decent distance so more traders would trade there before moving on to the NQ/YM/ES.
It is like the E7, which is not an easy contract to trade. It is not nice to trade at $6.25/tick, IMHO, because traders would move to the 6E.
I agree. It's just that I saw something that I hadn't considered, which might be useful.
I also agree with your maxim not to change things more than once every 2 weeks. The data from Gomi indicators on M6E may or may not translate into additional information worth my attention. I am just at the start of a process and they may not "make the cut."
For now I have 2 charts, but if I still see value later, then with a bit of hacking I can put gomi indicators for more than one instrument on a single chart. That might prove interesting, like a short term COT report. (or a random noise generator!)
And (see also below) I am only talking about 6E/M6E. I have no idea if other micros have enough volume to give meaningful signals, and think perhaps not, especially with one being retired.
For clarity:
6E 125,000 Euros per contract
E7 62,500 Euros per contract
M6E 12,500 Euros per contract
I was going to try to compare the E7 vs M6E volume, but I can't even get the front month symbol for E7 on the symbol lookup page of the IQFeed website. I have an email in to their support, but I think that tells you something already...
UPDATE:
Fixed typos above, and...
UPDATE 2:
[Gonna get this right SOMEDAY!]
Ratio of volume of 6E to M6E is ~30:1. I thought it was higher, but was looking in the wrong place.
Also found the E7 IQFeed front month symbol is @MEU13. Volume is about half M6E. But (a la Fat tail's thread above) it looks like they have the same spread, M6E usually better in fact, so you are looking at more slippage with E7 as opposed to ME6. But depending on your broker will pay more in commissions for M6E. Pay me now or pay me later I suppose...
If the transaction costs are relative to the point value in a micro ES contract I'd trade it. Also I would want to see some good liquidity. Reason I would trade it? I could trade larger size. This would allow the trader much more flexibility in working a trade.
Would be interesting to hear if there's an update on this. Given that the CME hasn't announced anything in the last month and a half (not even a launch date months in advance), I can't help but think that FuturesTrader71 spoke a little bit too soon.
I imagine that if the CME has decided internally to launch a micro ES contract and communicate this to brokers, an official announcement would be made sooner than later. At least, I hope they are technologically savvy enough to copy an existing product within two months.
