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Is it profitable to scalp the spead in ES mini


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Is it profitable to scalp the spead in ES mini

  #1 (permalink)
Pass Christian, MS
 
Experience: Intermediate
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Trading: Emini Scalper
 
tracy's Avatar
 
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Is it profitable to scalp the spead in ES mini

With the ES mini, can i get instant fills if i play the spread, sell the ask and immediately buy the bid? And is this profitable?

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  #3 (permalink)
Luxembourg
 
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You cannot get instant fills if you wish to buy the bid and sell the ask. It is the other way round that would get you instant fills

In the scenario you are looking at, the exchange will put you in the queue and on an instrument like the ES the order queue can get pretty long ;-)

Assuming that you can get "instant fills"; that strategy would give you a 1 tick gain per contract or $12.5 for the ES.
But how much would you pay for commissions? It will eat out virtually 50% of your gross profit and that's an expensive way of doing business of course...

With my broker, I pay $4.02 per contract in commissions and that's like 32.16% cost of business.

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  #4 (permalink)
Houston, TX
 
 
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tracy View Post
With the ES mini, can i get instant fills if i play the spread, sell the ask and immediately buy the bid? And is this profitable?

Blast from the past moment for me as soon as I read this. And a hilarious one too. Waaaay back, when I had just started out and funded a very small account with TradeStation, I did exactly this in SIM for more than a month - buy the bid and sell the offer and vice versa - AND I told everyone I knew that I am going to be a millionaire because I "figured it out" .

Sorry tracy, but it does not work this way. Limit orders are filled on a first in first out basis so there is no way you or anyone can get "instant fills".

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  #5 (permalink)
Pass Christian, MS
 
Experience: Intermediate
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LogicalTrader View Post
Blast from the past moment for me as soon as I read this. And a hilarious one too. Waaaay back, when I had just started out and funded a very small account with TradeStation, I did exactly this in SIM for more than a month - buy the bid and sell the offer and vice versa - AND I told everyone I knew that I am going to be a millionaire because I "figured it out" .

Sorry tracy, but it does not work this way. Limit orders are filled on a first in first out basis so there is no way you or anyone can get "instant fills".

well becky you are right, i am sim trading on NT. but i also sim trade on the CME's sim model and i do very well by using my indicators. what if you were almost 90% sure which way it was going...and can catch the very tops and bottoms. i could stay in and make maybe two or three ticks. but i choose to get out and then get back. i trade about 64 contracts with one or two tick loss. so i dont know what will happen live...but i will be finding out next year

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  #6 (permalink)
Vancouver, Canada
 
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I don't have any experience trading this way or even trading indexes but I had a thought;

What if you were a market taker when it's bid/offered at the price you think is near low/high of the range and then make the market in the direction you think it will break out? Ideally you would take inventory at the midpoint or better of the range and then be easily filled as price leaves the range. Maybe try looking at VWAP to give you some kind of directional bias for taking/making?

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  #7 (permalink)
Houston, TX
 
 
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tracy View Post
what if you were almost 90% sure which way it was going...and can catch the very tops and bottoms. i could stay in and make maybe two or three ticks. but i choose to get out and then get back.

I have watched John Grady scalp 2-4 ticks per trade, sometimes more. Thats his game, nothing else. He trades smaller now but I believe he used to do it with size in the past in the treasuries markets so I would say it is very much possible to make a living this way. He trades with a similar philosophy of getting out at the slightest hint of unfavorable conditions when in a trade with the intention of getting back in if he got out too soon. He uses Jigsaw now to help with his tape reading. So yes, if you have a similar method/trading idea, it should work for you.

Good luck.

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  #8 (permalink)
Edmonton, Alberta
 
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Tracy. I totally disagree with those above that say it is possible. You are a retail trader, not a market maker. In real LIVE trading you will be paying for the bid ask spread. Your success at SIM trading is an illusion. Please think twice about the path you are taking. I f you insist on trying it, please do it with one contract ONLY.

After a day or two of REAL losses, you will quickly shelve this plan.

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  #9 (permalink)
Market Wizard
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A friend I trade with is a liquidity provider for CME, as such he pays $0 commission. He scalp trades ES every day, very successfully. He won't look at any other market, ES only. His 'trick' is to trade off levels where price gets stuck. So for a price resistance level, let's say 1837.00 from this afternoon's trade, if you look at a short term chart from today you will see that level very clearly. He will enter at the price resistance level on a limit order, and exit for a 3 tick profit (also a limit order). And he keeps doing that over and over and over as long as the level holds. It is not uncommon for him to repeat that process 20 times in an hour at the exact same price levels every time. So, based on my experience with what actually does work, 1 tick profit + paying retail commission forget it the math doesn't support it. Use the expectancy formula with a reasonable win%, and find what the math supports (don't forget to include the commissions). Also, to even consider something like this you need a 100% rock solid plan to control risk. With such a narrow margin for any error, if even one trade "gets away from you", you could give back a month of profit in that one trade alone. (...lots of small wins and a few big losses is not a winning trading strategy). Managing risk is where the rubber meets the road with something like this.

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  #10 (permalink)
Luxembourg
 
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trendwaves View Post
Use the expectancy formula with a reasonable win%, and find what the math supports (don't forget to include the commissions). Also, to even consider something like this you need a 100% rock solid plan to control risk. With such a narrow margin for any error, if even one trade "gets away from you", you could give back a month of profit in that one trade alone. (...lots of small wins and a few big losses is not a winning trading strategy). Managing risk is where the rubber meets the road with something like this.

Ditto

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