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Who are we trading against? Why is the book so thin?


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Who are we trading against? Why is the book so thin?

  #11 (permalink)
 
DanDaMan's Avatar
 DanDaMan 
QC/Canada
 
Experience: Beginner
Platform: Sierra Chart, NinjaTrader
Trading: ES
Posts: 99 since May 2020
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Institutions are trading the ES at every moment of every day, they comprise nearly the totality of the volume. Retail volume is a blip.
Institutions use futures to hedge (this is also why you see major moves at the end/start of the day as portfolios are being rebalanced)- or in the case of HFTs to speculate/arb/capitalize.
Although the book may seem thin to you on the surface if you are looking on the DOM, it's deep. The algos will kick in and suck up anything you can throw at them- unless you come in at the wrong time, in which case you will know quickly that the algos left you holding the flaming bag.



anubis View Post
Looking at how thin the book is compared to years ago, around ~100 limits per tick, who is placing this limits?

I mean, most are market makers, but how many? Does a market making firm place 1 order per tick? 10?

Most days feels like the E-minis are being traded by a few market makers and a few thousands retail traders, the days institutions are trading it are very easy to distinguish and do not happen very often.

Why got the book so thin? I've seen screenshots from 2017 with ~1k limit orders per tick, has the e-mini reached a point of efficiency where is not worth trading anymore?


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  #12 (permalink)
 gregrnoe 
Denver, Colorado
 
Experience: Master
Platform: TOS/TastyWorks
Broker: TOS/TD ameritrade
Trading: Emini ES/NQ
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anubis View Post
Looking at how thin the book is compared to years ago, around ~100 limits per tick, who is placing this limits?

I mean, most are market makers, but how many? Does a market making firm place 1 order per tick? 10?

Most days feels like the E-minis are being traded by a few market makers and a few thousands retail traders, the days institutions are trading it are very easy to distinguish and do not happen very often.

Why got the book so thin? I've seen screenshots from 2017 with ~1k limit orders per tick, has the e-mini reached a point of efficiency where is not worth trading anymore?

If by efficiency, you mean is it likely that you and/or anyone else for that matter will profit off of daytrading/short term scalping of any kind in the /ES, then your question is correctly answered with a resounding no. You are 99.999% unlikely to experience a positive expectancy short term trading the /ES futures. Your probability of failure increases with the shorter your trading timeframe is. Hope this helps.

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  #13 (permalink)
 Cutloss 
Midway florida
 
Posts: 243 since May 2021


Liquidity is all icebergs unseen. A lot has shifted to Otc look a likes and with huge moves you dont get as much on the book resting orders but still a lot there more than u can see or do for sure. But they cancel them so they really aren't there! That's the problem when you do size without an execution specialist like citadel

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  #14 (permalink)
 
Sandpaddict's Avatar
 Sandpaddict 
Vancouver, Canada
 
Experience: Advanced
Platform: Ninjatrader, MT4
Broker: IB, Global Prime
Trading: Futures CFDs
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gregrnoe View Post
If by efficiency, you mean is it likely that you and/or anyone else for that matter will profit off of daytrading/short term scalping of any kind in the /ES, then your question is correctly answered with a resounding no. You are 99.999% unlikely to experience a positive expectancy short term trading the /ES futures. Your probability of failure increases with the shorter your trading timeframe is. Hope this helps.

Statistically that's true. But same is true of becoming the top in ANY field. Especially the esoteric rock/rap star... movie star ect.

But I have heard and it makes sense the shorter the timeframe the less likely of success.

If there were only 1000 people trading the odds would probably be the same.

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  #15 (permalink)
 dsheehan87 
Chicago IL USA
 
Experience: Advanced
Platform: Ninjatrader
Trading: ES CL SB
Posts: 14 since May 2020
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anubis View Post
Looking at how thin the book is compared to years ago, around ~100 limits per tick, who is placing this limits?

I mean, most are market makers, but how many? Does a market making firm place 1 order per tick? 10?

Most days feels like the E-minis are being traded by a few market makers and a few thousands retail traders, the days institutions are trading it are very easy to distinguish and do not happen very often.

Why got the book so thin? I've seen screenshots from 2017 with ~1k limit orders per tick, has the e-mini reached a point of efficiency where is not worth trading anymore?

I know this is a year old, but the reason the book is so thin because of volatility - you won't see big bids and offers until volatility is low again. No one is risking 5000 a handle when the ES moves 5-10 handles in a second. Micros will die off - contrary to what anyone says - they are too expensive to trade unless you have a seat. This is why in 2021 the book was 100 deep and why now its 50 deep. Same with crude. I wouldn't touch either, you get smoked easily because if someone needs to do business, they'll drop 500 and blast through your stop in a heartbeat.

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  #16 (permalink)
 erwinbeckers   is a Vendor
 
Posts: 29 since Aug 2018
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Maybe the big guys are trading in their Dark Pools.. instead of out in the open on the normal exchanges ?

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Last Updated on June 13, 2022


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