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Cash S&P market depth
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Cash S&P market depth

  #1 (permalink)
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Cash S&P market depth

hi,

is the $SP500 traded like the E-Mini. i mean is there also a market depth with Limit orders and market orders, a DOM?

i compared the Charts of both and both tend to move the same way. i wondered if i could make use of it and use
the cash market as confirmation and indicator.

when i trade the Treasury market, sometimes the 10 year leads the 30 year etc and i can make use of it.
i would like to use the same concept with the emini and cash market.

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  #3 (permalink)
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Here is a link to the CME's website that gives a basic breakdown of the emini's contracts in comparison to their correlating indexes.

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https://www.cmegroup.com/education/files/understanding-stock-index-futures.pdf

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Cash S&P market depth

The one key difference between the futures contracts and the cash markets they are derivatives of is the cash markets are decimalized while the futures contracts trade in quarters of a dollar per tick. I would think HFT's with access to spread networks fiber optic line straight from northern jersey to Chicago take advantage of these 1-24 cent discrepancies through latency arbitrage.


Last edited by nb10071981; June 24th, 2017 at 08:17 AM.
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It's just a concept that tends to run around my mind sometimes when I'm bored.

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thanks for the detailed reply, what i was thinking of was open them DOM for the cash market and watch for anomalies, such as icebergs in cash market while normal behavior in the emini. maybe this could give me some more indication of a move or a key level for the day.



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  #8 (permalink)
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Yeah it is quite possible for the cash markets which are primarily just a large basket of stocks which I mentioned before are decimalized. To get out of line from the futures markets price, which trade in quarter point increments.

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This only happens for very short time frames, less than a second I would think before it's arbitrated out.

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Cash S&P market depth


But maybe if you take the 10 most heavily weighted equities in the index, and watch the DOM or level 2 on those, you might be able to catch held offers or bids that would not take place in the futures DOM. Giving you a signal.

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