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Any FDAX traders here?


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Any FDAX traders here?

  #121 (permalink)
piebald
london, uk
 
Posts: 14 since May 2015
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Market? Stop? Limit?
What time of day?


Bosch777 View Post
Hi Folks,
would like to get peoples view regarding the likely slippage on the FDAX with a position size of 10 or 12 contracts on a few intraday entries/exits? Anyone?
Regards..


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  #122 (permalink)
 
xiaosi's Avatar
 xiaosi 
Brisbane, Queensland, Australia
 
Experience: Advanced
Platform: JIGSAW/SIERRA CHART
Broker: MacQuarie Futures/AMP Clearing/CQG
Trading: HHI, HSI, FDAX
Posts: 502 since Feb 2012
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piebald View Post
Market? Stop? Limit?
What time of day?

While this is important, relevant etc., it still would not help the fact that ten contracts swept off the bid or offer on the Dax could mean ten levels of depth. The Dax is thin at best, testing it with several market orders will show you.

If you want to trade that size, I suggest you run the stops to get the best fills

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  #123 (permalink)
piebald
london, uk
 
Posts: 14 since May 2015
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I have entered numerous orders for 10 DAX contracts. My statistics show that entering on a stop or market order for 10 contracts you should expect about 2 ticks (1 point) of slippage on average, if it is during the day session. If a lot of stops do get run (around new highs and lows) the spread can widen a lot, although briefly. The solution is to place your stops wisely.

Limit orders will have zero slippage by construction, but it's possible to not get filled on your whole order.

For the way I trade 2 ticks is not a problem since the DAX moves around alot and I make over 50 ticks per trade on average. Unless you are scalping, I doubt it would be a problem for most day traders. If it is a problem then you don't have much of an edge and you will fail regardless.

After hours you would have more because the market does get thin.

I hope this will be more helpful to the original poster. Suggesting running the stops with 10 contracts is a silly statement (I presume it was a joke, just not very funny).


xiaosi View Post
While this is important, relevant etc., it still would not help the fact that ten contracts swept off the bid or offer on the Dax could mean ten levels of depth. The Dax is thin at best, testing it with several market orders will show you.

If you want to trade that size, I suggest you run the stops to get the best fills


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  #124 (permalink)
 Bosch777 
Ireland
 
Experience: Intermediate
Platform: Ninja Trader
Trading: CL GC FDAX
Posts: 118 since Jul 2012
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Thanks for that..

ok let me change this around a bit.

Basically Im trying to get some views/opinions as to:

A) the likelihood of partial fills when executing a 12 contract limit order on the FDAX and also;
B) the likelihood of heavy slippage if it were a market order?

Time-wise, I'm referring to around 10:30am to 12:30pm London time, so basically its after the heavy morning London/Frankfurt action/throughput but before the US open.

Appreciate your inputs on this.

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  #125 (permalink)
piebald
london, uk
 
Posts: 14 since May 2015
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Obviously if the market doesn't go to your limit price you won't get filled at all... but I presume you mean if it does go to your price: partial fills will happen but I suspect it won't be very frequent. I can't give a more definitive answer since I don't use limit orders on the DAX anymore. As a positive point: due the the 'thinness' of orders at any given price, you are likely to be at or near the front of the queue.

Be wary of trying to use a limit order to reduce slippage on what would otherwise be a market order. I've been burnt a couple of times on that. Limit orders make sense if you are trying to capture some mean reversion effect.

For market orders slippage will vary. Sometimes it will be zero, occasionally 6 ticks (3 points), but it's very unlikely be more than 10 ticks except immediately after a news announcement so using a market order to enter at those times should probably be avoided. I'd stick with an estimate of 2 ticks, on average which is all that's really important.

How long are you holding a trade for? How many ticks do you expect to average per trade?



Bosch777 View Post
Thanks for that..

ok let me change this around a bit.

Basically Im trying to get some views/opinions as to:

A) the likelihood of partial fills when executing a 12 contract limit order on the FDAX and also;
B) the likelihood of heavy slippage if it were a market order?

Time-wise, I'm referring to around 10:30am to 12:30pm London time, so basically its after the heavy morning London/Frankfurt action/throughput but before the US open.

Appreciate your inputs on this.


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  #126 (permalink)
 Bosch777 
Ireland
 
Experience: Intermediate
Platform: Ninja Trader
Trading: CL GC FDAX
Posts: 118 since Jul 2012
Thanks Given: 89
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Only holding a position for a few minutes usually. 8-10 ticks PT.
What do you think of this instruments potential for a decent mean reversion strategy? Have you tried or had any success with such a strategy?
Limit orders would probably work better here since the entries would be all counter trend hence only positive slippage?

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  #127 (permalink)
terribletrader
United Kingdom
 
Posts: 14 since Mar 2015
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dax has fallen 10% now from April highs...

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  #128 (permalink)
 GFIs1 
who cares
Legendary Market Wizard
 
Experience: None
Platform: nobody interested
Broker: none
Trading: forget about it
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terribletrader View Post
dax has fallen 10% now from April highs...

true - but:
This Is Not The End!

GFIs1

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  #129 (permalink)
avibe
Nairobi
 
Posts: 7 since Jun 2015
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Hi all , i have subscribed to this thread. I was actually googling DAX trading groups..and got a link to here.

Been reading through the posts here..and am loving it.

I have been demo trading DAX for the last 3 months.. refining my craft....and trying to learn as much as possible about it.

I trade the CFD and not the future.

I scalp 10-25 ticks on the open of London

So far i have grown pretty confident and looking to go live soon.


May the ticks be with you

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  #130 (permalink)
terribletrader
United Kingdom
 
Posts: 14 since Mar 2015
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GFIs1 View Post
true - but:
This Is Not The End!

GFIs1

bit of a bounce on the Germans blinking first on Greek

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