ES limit order queue data or average value - Emini Index Futures Trading | futures io social day trading
futures io futures trading


ES limit order queue data or average value
Updated: Views / Replies:303 / 7
Created: by rock8790 Attachments:2

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

ES limit order queue data or average value

  #1 (permalink)
Trading Apprentice
Portland, OR
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Emini ES
 
Posts: 3 since Apr 2017
Thanks: 2 given, 0 received

ES limit order queue data or average value

I've read through the many helpful threads on this forum about limit order queue and how it can cause backtests to differ from real-life automated strategies. My understanding is that backtesting systems flag orders as filled when the limit price for an order is touched, but in live trading the limit order is in a queue and is only filled if some number of orders get filled at that price first.

TradeStation has a backtesting option that can roughly imitate the queue, the third option in the picture below.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


So the question becomes: how do I find average queue size for a given instrument, in this case ES? I've read NinjaTrader provides this, but TradeStation does not.

Thanks.

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
San Francisco, CA
 
Futures Experience: Advanced
Platform: IB-TWS, Ninja, Wave59, R
Broker/Data: IB, IQFeed
Favorite Futures: ZB
 
Posts: 35 since Sep 2013
Thanks: 0 given, 21 received


Just look on your DOM and see how many cars are sitting on the bid and ask. For ES it is between 200 and 1200. 300-600 should be safe.

That being said careful backtesting scalping systems.....they rarely backtest well.....

Reply With Quote
The following user says Thank You to marpol for this post:
 
  #4 (permalink)
Swings a big hammer
Oberbayern, Germany
 
Futures Experience: Beginner
Platform: Sierra Chart
Broker/Data: Interactive Brokers
Favorite Futures: Where the action is
 
Bladesmith's Avatar
 
Posts: 320 since Jul 2016
Thanks: 633 given, 1,129 received

It also depends on time of day, but in most cases, you probably won't be in the middle of the queue anyway. Depending on how you set up your strategy, your limit order will most likely come in well behind the market makers. Quite honestly I thing you'd be better off using option 2 for your backtests.

Reply With Quote
The following 2 users say Thank You to Bladesmith for this post:
 
  #5 (permalink)
Trading Apprentice
Portland, OR
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Emini ES
 
Posts: 3 since Apr 2017
Thanks: 2 given, 0 received


marpol View Post
Just look on your DOM and see how many cars are sitting on the bid and ask. For ES it is between 200 and 1200. 300-600 should be safe.

That being said careful backtesting scalping systems.....they rarely backtest well.....

Thanks for pointing this out, just to clarify when you say DOM you mean the screen below?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
 
  #6 (permalink)
Elite Member
San Francisco, CA
 
Futures Experience: Advanced
Platform: IB-TWS, Ninja, Wave59, R
Broker/Data: IB, IQFeed
Favorite Futures: ZB
 
Posts: 35 since Sep 2013
Thanks: 0 given, 21 received

Thats the one...you can see how many contracts on the bid and ask at each price level.....when you put your limit order in you add to that number (at the end).....

Reply With Quote
 
  #7 (permalink)
Trading Apprentice
Portland, OR
 
Futures Experience: Beginner
Platform: TradeStation
Favorite Futures: Emini ES
 
Posts: 3 since Apr 2017
Thanks: 2 given, 0 received


Bladesmith View Post
It also depends on time of day, but in most cases, you probably won't be in the middle of the queue anyway. Depending on how you set up your strategy, your limit order will most likely come in well behind the market makers. Quite honestly I thing you'd be better off using option 2 for your backtests.

I tried this an it made the strategy more pessimistic, taking fewer trades. It was profitable but I thought maybe I was leaving money on the table. Do you think it's better to do pessimistic backtests vs trying to get them as close to reality as possible?

Reply With Quote
 
  #8 (permalink)
Swings a big hammer
Oberbayern, Germany
 
Futures Experience: Beginner
Platform: Sierra Chart
Broker/Data: Interactive Brokers
Favorite Futures: Where the action is
 
Bladesmith's Avatar
 
Posts: 320 since Jul 2016
Thanks: 633 given, 1,129 received


rock8790 View Post
I tried this an it made the strategy more pessimistic, taking fewer trades. It was profitable but I thought maybe I was leaving money on the table. Do you think it's better to do pessimistic backtests vs trying to get them as close to reality as possible?

Reality is pessimistic

I do think it makes sense to be conservative with your assumptions before committing capital to an unproven strategy. If you are entering on limit you will miss fills. And quite often the ones you're most likely to miss are the very ones you want to be in - those perfect setups where price goes straight to your target without ever looking back. The only way to catch those fast directional moves is to enter at market.

Besides, being more conservative with your assumptions gives you just a bit more wiggle-room for things like slippage or other potential issues. Believe me, it's much better to be pleasantly surprised when you finally plug it in than to go in with unrealistic expectations.

Reply With Quote

Reply



futures io > > > > ES limit order queue data or average value

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

Dec 7

Linda Bradford Raschke: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Order's queue paky79 EasyLanguage Programming 1 December 11th, 2015 01:45 PM
Understanding futures market ( limit queue order ) voluma Reviews of Brokers and Data Feeds 9 September 23rd, 2015 09:09 PM
Limit order queue and icebergs bobajob Traders Hideout 7 January 3rd, 2015 11:37 PM
Is SPY order flow data equivalent to ES data? tennon Emini Index Futures Trading 3 May 20th, 2014 11:45 PM
Need Help Plotting the average of a queue Xav1029 NinjaTrader Programming 5 September 1st, 2012 11:09 AM


All times are GMT -4. The time now is 07:15 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
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.
no new posts
Page generated 2017-11-18 in 0.11 seconds with 20 queries on phoenix via your IP 54.198.108.19