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Liquidity outside of regular hours for ES


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Liquidity outside of regular hours for ES

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  #1 (permalink)
Algiers
 
Experience: Intermediate
 
Posts: 4 since Feb 2019
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Hello,

I am currently back-testing an algorithm on the ES and I would like to know how good/bad the liquidity is outside the regular hours when trading 20 contracts. Will LMT orders at the last traded price for example remain unfilled/partially filled more often than not ?

Just to avoid the responses "newbie trading 20 contracts", I actually intend to trade 10 contracts at a time however the algorithm works by always being in a position so for example if I close a 10 contract long position, I will sell the 10 contracts that make up the long position and go short 10 contracts as well (so 20 contracts in total).

During regular hours, I assume it's a breeze to get filled at the last executed price but I am very concerned about after/pre hours.

The back tests shows good results on regular hours but the results are even better outside those hours.

Thank you for any help is appreciated !!

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  #3 (permalink)
Berlin, Germany
 
 
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dztrader62 View Post
Hello,

I am currently back-testing an algorithm on the ES and I would like to know how good/bad the liquidity is outside the regular hours when trading 20 contracts. Will LMT orders at the last traded price for example remain unfilled/partially filled more often than not ?

Just to avoid the responses "newbie trading 20 contracts", I actually intend to trade 10 contracts at a time however the algorithm works by always being in a position so for example if I close a 10 contract long position, I will sell the 10 contracts that make up the long position and go short 10 contracts as well (so 20 contracts in total).

During regular hours, I assume it's a breeze to get filled at the last executed price but I am very concerned about after/pre hours.

The back tests shows good results on regular hours but the results are even better outside those hours.

Thank you for any help is appreciated !!

Since the backtest is showing good results during RTH I would stick to those times as ETH can present liquidity issues at times and your 10 or 20 lots may actually move price. Just my opinion of course

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  #4 (permalink)
Algiers
 
Experience: Intermediate
 
Posts: 4 since Feb 2019
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samironthemove View Post
Since the backtest is showing good results during RTH I would stick to those times as ETH can present liquidity issues at times and your 10 or 20 lots may actually move price. Just my opinion of course

Thank you for your opinion, I appreciate it. Gonna to see the prices executed after the signal. See if it trades through my order

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  #5 (permalink)
Boise, Idaho/USA
 
Experience: Advanced
Platform: Ninja Trader 8
Broker: IB, NinjaTrader Brokerage, Schwab
Trading: ES
 
Posts: 170 since Sep 2014
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Futures Trader 71 uses a rule of thumb that extended hours total contracts is usually around 10% of regular (old open outcry pit) hours. Considering the number of hours open the gross implication is your system should throttle back from 20 to 2 contracts after the regular close. But we all know that average is a concept and if you look at things in a granular way the overnight volume really doesn't pick up until London and Frankfurt are open. So what is good at 8 pm GMT 5 is not the same at 2 AM let alone 10 AM. i.e. 1 contract then 2 or 3 finally back to 20.

I think you should run some stats and I would suggest keeping it to transactions not number of contracts. If you are good at crunching numbers (personally I have an MBA from the time of the 286 processor) you may want to look at the range of contracts offered. Trying to say if it is just retail with one and two contracts per transaction that is different from regular trading where 20 contracts at a time is constant. So match your tackle to the size of the fish.

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  #6 (permalink)
Agoura Hills, CA USA
 
Experience: Advanced
Platform: Tradestation&Multicharts
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numberjuani's Avatar
 
Posts: 127 since Apr 2019
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Using limit orders even on one contract during the open session takes away from the fidelity of your backtest. If you want your backtest to be as close as possible to what reality might look like, then use market orders and take away the all the uncertainty about getting filled.


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December 6, 2019


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