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Trading the new CME E-Micro's (E micro) MES, MNQ, MYM, M2K and other micros


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Trading the new CME E-Micro's (E micro) MES, MNQ, MYM, M2K and other micros

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  #481 (permalink)
SunTrader
Boca Raton, FL
 
 
Posts: 178 since Nov 2018
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SMCJB View Post
This was Algo's/HFT Market Makers taking GTC limit orders. While not impossible, very difficult for a non fully automated trader to take advantage of this.

I looked at the 1 tick data before posting. Many 1's and 2's.

Obvious no way to tell if they were market or not, most likely were.

So anyone buying on open - like I said nice fill. Can one plan for that, obviously not.

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  #482 (permalink)
 SMCJB 
Legendary Market Wizard
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SunTrader View Post
buying on open

Is that an exchange order type?

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  #483 (permalink)
SunTrader
Boca Raton, FL
 
 
Posts: 178 since Nov 2018
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SMCJB View Post
Is that an exchange order type?

Ordinary market buy or sell order(s) I presume.

18:00:00 34250 64
18:00:00 34280 1
18:00:00 34250 2
18:00:01 34280 1
18:00:02 34315 5
18:00:03 34500 1
18:00:03 34500 4
18:00:03 34500 1
18:00:07 34670 1
18:00:07 34730 1
18:00:57 35760 78

ET time of course

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  #484 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
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I stand corrected.

This I expected, and is what I was referring to. The opening (auction price) and an algo taking all the resting GTC orders.
SunTrader View Post
18:00:00 34250 64

This I didn't expect.
I was watching at the time, didn't seem like it took 7 seconds.

SunTrader View Post
18:00:00 34280 1
18:00:00 34250 2
18:00:01 34280 1
18:00:02 34315 5
18:00:03 34500 1
18:00:03 34500 4
18:00:03 34500 1
18:00:07 34670 1
18:00:07 34730 1


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  #485 (permalink)
 SMCJB 
Legendary Market Wizard
Houston, TX
 
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SunTrader View Post
Ordinary market buy or sell order(s) I presume.

18:00:00 34250 64
18:00:00 34280 1
18:00:00 34250 2
18:00:01 34280 1
18:00:02 34315 5
18:00:03 34500 1
18:00:03 34500 4
18:00:03 34500 1
18:00:07 34670 1
18:00:07 34730 1
18:00:57 35760 78

ET time of course

I tried to take advantage of this, this weekend. 1 second before CME open Bitcoin was 34500ish on Coinbase etc. and Micro Bitcoin was 34200 choice. So I entered an order to buy 10 at 34250. Micro Bitcoin then proceeded to open at 34250 and I was filled on none! What I think this means is that the buy order at 34200 actually had a price higher than 34200, but 34200 was the auction open clearing price (before my order) based upon 'number of bids and offers'. When I entered my order at 34250, that became the opening auction clearing price, but my orders were still behind the person who got the fill as their price was obviously higher. (Probably 34400ish)*. This is what I expected when I said...


SMCJB View Post
This was Algo's/HFT Market Makers taking GTC limit orders. While not impossible, very difficult for a non fully automated trader to take advantage of this.

I'm not sure what happened last week. Maybe the volume of orders (67) was greater than the max order quantity of the Algo taking advantage of this.

* If your paying exchange fees, Micro Bitcoin is very expensive to trade, probably higher than $50/Coin/RT (not per lot) and likely higher than $75/coin.

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  #486 (permalink)
SunTrader
Boca Raton, FL
 
 
Posts: 178 since Nov 2018
Thanks: 53 given, 131 received


SMCJB View Post
I tried to take advantage of this, this weekend. 1 second before CME open Bitcoin was 34500ish on Coinbase etc. and Micro Bitcoin was 34200 choice. So I entered an order to buy 10 at 34250. Micro Bitcoin then proceeded to open at 34250 and I was filled on none! What I think this means is that the buy order at 34200 actually had a price higher than 34200, but 34200 was the auction open clearing price (before my order) based upon 'number of bids and offers'. When I entered my order at 34250, that became the opening auction clearing price, but my orders were still behind the person who got the fill as their price was obviously higher. (Probably 34400ish)*. This is what I expected when I said...


I'm not sure what happened last week. Maybe the volume of orders (67) was greater than the max order quantity of the Algo taking advantage of this.

* If your paying exchange fees, Micro Bitcoin is very expensive to trade, probably higher than $50/Coin/RT (not per lot) and likely higher than $75/coin.

Hadn't seen your post till now.

But back on July 11th I see:

18:00:00 34250 43
18:00:00 34275 1
18:00:00 34295 2
18:00:00 34355 2
18:00:00 34400 5

etc

continuing to

18:00:01 34760 1

and so on

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  #487 (permalink)
kazz
London
 
 
Posts: 150 since Apr 2018
Thanks: 168 given, 78 received


ZCars View Post
Most brokers in Europe, Asia and Australia that offer CFDs, Spread Betting, etc are not registered with the above regulators. Therefore, USA guys can not use these instruments. This is as far as I know, please conduct your own due diligence.

Matt Z
Optimus Futures

There is a risk of loss in futures trading. Past performance is not indicative of future results.[/QUOTE

Yes, do you think the powerful futures exchanges in the US effectively lobby against legalising CFD trading, Matt? I guess they would lose tonnes of business.

I've never had a problem with the firms I've traded with and I find CFD's far more flexible than the fixed high leverage of futures contracts. But I'm a small fish.

Not to mention that the bigger cfd brokers are regulated, at least here in the UK. They also offer maximum loss guarantees so you will never lose more than your account balance in the event of a black swan event. As far as I know this is not the case with futures?

Sent using the futures.io mobile app

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