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

June 22nd, 2021, 07:15 PM

cmtn0113

Hi, how is the liquidity with micros? For example, if I wanted to buy 40 contracts near the open, would there be significant slippage?

1/10 ratio so 40 micros = 4 eMini's

What do you think - the equivalent of 4 eMini's hard to fill at the open?

If you do, you might want to consider trading something else.

BTW just so you know, 500,00 micros on average trade per day.

June 22nd, 2021, 07:17 PM

gemmendieb

Dear Community,
as a newbie I am trying to understand the relation of mini and micro futures to each other: Does it make sense to plan your trades in ES but execute them in MES (assuming you actually want to trade MES)? My reasoning would be that more volume and overall the larger amount of money is transacted in the ES and the MES correlates almost to the tick with it. My fear is that the levels I identify in the MES may be less significant than those of the "big brother". Or is my understanding completely off?
Many thanks in advance.

Other than in the middle of the (globex session) overnight I've found them to be equally useful.

But don't take my word, or anyone else's for it, test it.

July 7th, 2021, 08:59 PM

By comparing Micro and Mini contract, will you tend to look at Mini's price action since Micro may following their action?

July 7th, 2021, 11:06 PM

WPython

By comparing Micro and Mini contract, will you tend to look at Mini's price action since Micro may following their action?

I would say absolutely. In my experience, and from words of wisdom handed down to me from others who know way more than I do, it's almost always best to chart the full sized contract and trade the micro based on it.

That said, what @SunTrader says rings true... best to see it for yourself.

July 8th, 2021, 12:57 AM

New micro WTI CRUDE oil contract set to launch this Monday 12 July on CME - at 1/10th size of full crude:

https://www.cmegroup.com/trading/energy/micro-wti-crude-oil-futures.html

be interesting to see if it reaches the level of popularity of the index micros.

July 8th, 2021, 10:19 AM

WPython

By comparing Micro and Mini contract, will you tend to look at Mini's price action since Micro may following their action?

I've had them side-by-side and also put a spread indicator on them and see very little variation.

If you are trading during active periods I'd just watch the one you are trading.

July 8th, 2021, 03:09 PM

WPython

By comparing Micro and Mini contract, will you tend to look at Mini's price action since Micro may following their action?

SunTrader

I've had them side-by-side and also put a spread indicator on them and see very little variation.

If you are trading during active periods I'd just watch the one you are trading.

I've seen many answers to this question, and this may be the best.

There is in fact not much difference, and if there were, why would you want to enter trades based on the one you were not trading? Which one do you think they are going to be executed on?

But as a practical matter, I doubt that it matters. Conceivably, the mini, which will have more volume and more participants, might show you more if you are using a volume-based trading method or something using order flow, simply because the greater amount of data might make it more reliable.

But still, you are trading just one. Why be watching/deciding/reading-order-flow/reading-price-action/reading-anything for the one you will not make a trade in? Seems complicated to me....

I know that others may disagree, but I'll keep things simple where I can. But the reality probably is that you can do just as well either way.

Bob.

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Edit: in very inactive periods, such as overnight, the micro might become more erratic. So perhaps then you should be watching the more active one more. During regular hours, probably not.

July 8th, 2021, 03:26 PM

I know you guys are talking about ES/MES and not BTC/MBT but I think this is interesting in relationship to this conversation. This is the Sunday 4th opening of BTC. MBT experienced $1500 (4.2%!!!) in slippage!

210708 Bitcoin

July 8th, 2021, 03:53 PM

SMCJB

I know you guys are talking about ES/MES and not BTC/MBT but I think this is interesting in relationship to this conversation. This is the Sunday 4th opening of BTC. MBT experienced $1500 (4.2%!!!) in slippage!

210708 Bitcoin

For anyone going short!!

Long it was a very nice fill.

Anyhow BTC large and micro trades like no other.

July 8th, 2021, 04:43 PM

SunTrader

For anyone going short!!

Long it was a very nice fill.

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.

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

Discussion in Emini and Emicro Index

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