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simulated balance* that amount when I longed my position. Should I use an OCO on the Dom to protect myself from slippage ?? When I place a limit order at exactly the same time on the predicted *correct* position, then my order does not get taken at the time. Please explain why this happens and someone whom is good with feedback as I need to understand why this is occurring,
Can you help answer these questions from other members on NexusFi?
I'm creating this thread with the purpose of a 'catch all' for any trading related question that futures.io (formerly BMT) members want to ask, but don't want to create a new thread for -- or find an existing thread to reply to.
Forgive me if I misunderstand your post, but it seems like you are trying to arbitrage minor discrepancies between ES (the mini S&P futures) and SP (either the cash index, or the the big pit traded S&P futures). Is that right?
If so, the difference you are seeing is most likely due to either a time delay difference, or the fact that maybe one market hasn't traded in a while, but the other has (so the last trade prices might be different, but bid/ask will be the same).
Are you sure there is actually an arbitrage opportunity you can take advantage of? There are plenty of HFT bots working ES, SP. SPY and other correlated products to quickly catch any temporary price discrepancies.
Maybe I am misunderstanding, which happens a lot. Can you provide a detailed example of what you see, and what is happening? But, please don't if it gives away your edge.
Yes you are correct but I am not really trying to arbitrage a major position, I will not give my edge away, can you please provide me with more clarity on the HFT bots working ES, SP and SPY, what I am seeing is an occurrence between ES and SP but I need more information on HFT bots. I need to either long or short the SP but it is hard to do in this circumstance.
Simple. Large herd stock buyers will dominate the cash and force the ES to follow, hence Elliott works best in cash markets. Large futures players will use ES support and resistance critical levels and play accordingly. Hence Leonardo works best here. Especially with extensions that most never see. Not sure why you would want to be so concerned with perceived and usually illusory arbitrage, maybe enlighten?
The SP cash index, ES futures, SP futures, SPY, the basket of SP500 stocks and other instruments basically all measure the same thing - the value of stocks in the S&P 500. There are, of course, differences in prices due to the nature of each product (ie, futures won't be at the exact same price as the cash index), but in general, the price movements of all these has to be identical. Otherwise, an arbitrage opportunity exists (go long the undervalued, go short the overvalued, then make a risk free profit when they come back into line).
So, the big players in these markets have, as part of their strategies, many arbitrage programs to exploit any price differences. The run computer "HFT bots" are co-located at the exchange, supported by tons of infrastructure and enjoy minimal transcation costs. They can react to opportunities before you even see it on the screen.
That is who you are fighting against with your trading idea.
