NexusFi: Find Your Edge


Home Menu

 





ES liquidity dried up so much over the years why?


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one Labe with 2 posts (2 thanks)
    2. looks_two Schnook with 1 posts (0 thanks)
    3. looks_3 Mozart2112 with 1 posts (1 thanks)
    4. looks_4 awesomizer with 1 posts (0 thanks)
    1. trending_up 3,879 views
    2. thumb_up 3 thanks given
    3. group 6 followers
    1. forum 6 posts
    2. attach_file 0 attachments




 
Search this Thread

ES liquidity dried up so much over the years why?

  #1 (permalink)
Labe
Annihilate This Account
 
Posts: 15 since Oct 2020
Thanks Given: 0
Thanks Received: 10

I still can't comprehend how each DOM level now only has <300 cts, not even a tenth of what this number used to be back around '10. Beside algos who else is to blame(If algos were to be blamed at all)? What are the fundamental liquidity/market change reasons behind this?

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Better Renko Gaps
The Elite Circle
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
Exit Strategy
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
60 thanks
Funded Trader platforms
43 thanks
NexusFi site changelog and issues/problem reporting
24 thanks
GFIs1 1 DAX trade per day journal
22 thanks
The Program
19 thanks
  #2 (permalink)
Labe
Annihilate This Account
 
Posts: 15 since Oct 2020
Thanks Given: 0
Thanks Received: 10

Well, as the index grew in number, the moves in point terms are larger, therefore the moves must be on thinner volume. Makes sense thinking of it this way but still doesn't actively "explain" it

Reply With Quote
Thanked by:
  #3 (permalink)
Mozart2112
Minoqua Wi USA
 
Posts: 119 since Sep 2019
Thanks Given: 68
Thanks Received: 82



Labe View Post
I still can't comprehend how each DOM level now only has <300 cts, not even a tenth of what this number used to be back around '10. Beside algos who else is to blame(If algos were to be blamed at all)? What are the fundamental liquidity/market change reasons behind this?

I think the rise in volatility is the culprit that thinned out liquidity... with that said the ES is still the most liquid contract I think

Reply With Quote
Thanked by:
  #4 (permalink)
fukfernando
kelowna, british columbia
 
Posts: 5 since Nov 2020
Thanks Given: 1
Thanks Received: 3


Mozart2112 View Post
I think the rise in volatility is the culprit that thinned out liquidity... with that said the ES is still the most liquid contract I think

I agree that the rise in volatility is what seemed to thin out most liquidity, same with the RTY. The first reply is also 100% logical. At the same time, you could still do a 25C lot on ES and it'd swallow it up like nothing. Try that on the RTY

Reply With Quote
  #5 (permalink)
 
awesomizer's Avatar
 awesomizer 
Portage, MI
 
Experience: Intermediate
Platform: Bookmap, Tradingview
Trading: NQ
Posts: 82 since Nov 2020
Thanks Given: 219
Thanks Received: 63

maybe it went to the micros

Reply With Quote
  #6 (permalink)
 
SBtrader82's Avatar
 SBtrader82   is a Vendor
 
Posts: 587 since Feb 2018
Thanks Given: 222
Thanks Received: 1,333

I think a lot has to do with ETFs, I think a lot of traders and institutions prefer to trade ETFs instead of futures, I didn't check this in detail but I've heard many times that ETF have had a tremendous success over the last 5 years.
Now that shares are traded commissions free, that would be also a great incentive for people to trade etfs (that are normally treated as shares).

Concerning micros, that's also an interesting factor, now micros volume is 3x mini's volume.

Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #7 (permalink)
 
Schnook's Avatar
 Schnook 
Munich, Germany
 
Experience: Advanced
Platform: Sierra Chart
Broker: Interactive Brokers
Trading: liquid products
Posts: 570 since Jul 2016
Thanks Given: 1,166
Thanks Received: 1,917

ETFs have cannibalized the mutual fund industry, but not futures.

I would attribute a better part of the decline in depth to the increase in the index value, as already mentioned above. Back in 2010 the S&P500 was trading at about 1000, so one tick (a quarter of a point) represented 0.025% of the price. Today, with the ES trading north of 4000, that same 0.025% of price liquidity represents 4 ticks.

Another factor may be technologies employed by the primary market makers today. Though this is not my area of expertise I would assume that faster and more responsive pricing algorithms make quotes a bit less "sticky" than they were a decade ago.

Reply With Quote




Last Updated on September 30, 2021


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts