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Micro E-Mini vs. regular E-Mini - data stream / prices
I watched this YouTube video: Why Trading Micro E-minis is a Game Changer w/ Carley Garner @ DeCarleyTrading
However, from a technical standpoint, how is the data stream derived for the Micro prices ?
Is there pricing arbitrage with the larger contract happening ?
Has anyone compared the Micro contract prices with the Mini contract prices ? I am talking MES vs. ES and MNQ vs. NQ.
Hey i would think that they will ignore the order book and just let them roll tick for tick with the mini ...
i had the same question because someone with few million dollars could roll in and manipulate the shit out of it unless it mirrored the index and ignored the order book.
I imagine if i take the time and go over to the cboe and read that product information it would mention how its going to work
Hey i would think that they will ignore the order book and just let them roll tick for tick with the mini ...
i had the same question because someone with few million dollars could roll in and manipulate the shit out of it unless it mirrored the index and ignored the order book.
I imagine if i take the time and go over to the cboe and read that product information it would mention how its going to work
Like all futures contracts, the prices for both ES and MES are set independently by trading activity and not derived in some way from anything else -- not directly, at least.
But the futures contracts are used by large institutions to hedge their stock positions (that's the reason CME created them in the first place), so it's to be expected that they would be kept very closely in line with the underlying index (S&P 500) and with each other, both by normal trading and by arbitrage. If they get out of line by enough to matter, then you would expect some extremely fast automated trading firms to come in and buy the contract that is lower while selling the one that is higher, scalping a tiny profit and also driving the difference down to zero or nearly zero.
Well, that's the expectation, but I had always just assumed it would work out, without looking at prices to check. So how does the theory actually turn out?
Sierra Chart lets you run two contracts together and plot the difference. Here is a chart of ES vs. MES on a 30-second basis, beginning a little before the regular open last Friday. I used a pretty short-term time period based on the idea that differences wouldn't last too long, but that there would be some.
The plot at the bottom is the difference, per bar, in the open, close, high and low between the two, when there is one, plotted also as a price bar:
The two contracts are generally pretty close, and you can see the general range of the high/low difference, in this time period anyway, is about plus or minus .25 (ish), for a spread, when there is one, of a couple of ticks. Sometimes a bit more. It also doesn't last very long, and often there is no difference at all.
I'm not sure how this would affect anyone's actual trading. You could expect an occasional difference of a couple of ticks, which might be important to very short-term scalpers. I doubt that anyone at our level could make any money out of the difference, because we'd be in competition with the arbs who do this for a living. It might slightly affect how well you could use the minis as the basis for your micro trades, but again, mostly for very short-term trading.
Here's the same chart for NQ/MNQ:
As you would expect, the spread is much twitchier than for slow-moving old ES. And more often the NQ is not zero.
This is not a real scientific study, which would have to look at a lot of data, and I'm not going to get into it that far. But I think it gives an idea of how well the mini and micro prices match each other, and generally how significant any differences would be to a particular trading strategy.
In case you're wondering, it got more weird around the trading halts today, but everything is weird right now.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
