Why is the ES liquidity drying up? - futures io
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Why is the ES liquidity drying up?


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Why is the ES liquidity drying up?

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  #1 (permalink)
Revan
Brisbane, Australia
 
 
Posts: 95 since Mar 2018
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Not much liquidity today 12/11/2018, holiday season?

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  #3 (permalink)
 cory 
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no, just waiting for trade war fallout

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  #4 (permalink)
 Skidboot 
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What do you mean by liquidity? it is still trading over 5000 contracts per minute on average and the bid/ask spead is as tight as before.


Revan View Post
Not much liquidity today 12/11/2018, holiday season?


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  #5 (permalink)
 MiniP 
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i think the word you are looking for is volatility.


-P

"Truth is not what you want it to be; it is what it is, and you must bend to its power or live a lie"-Miyamoto Musashi
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  #6 (permalink)
Revan
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Woops, I opened it from the bonds which are already rolled to the March 2019 contract, the latest December ES contract is fine.

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  #7 (permalink)
Revan
Brisbane, Australia
 
 
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MiniP View Post
i think the word you are looking for is volatility.


-P

Not so you "Elitist". - I, a mundane non-elitist got the terminology correct! You probably think I'm some Indian dude who trades Forex and CFD's and spent a fortnights telephone scamming pay just to get a Lamborghini photoshoot done for my Marijuana investment Facebook page cover photo. admit it.


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  #8 (permalink)
 iantg 
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I would probably admire you if you were pulling some elaborate ruse like that.

But to your original question here is my two cents. Some classes of algo's that do better with thicker books that move slower will pull out of the market all together with higher volatility. If we are seeing the bulk of the action come from sweeps that take out 3 to 5 levels at a time, then this is an indicator that certain types of market making algos will likely sit on the side lines. If we are seeing a higher percentage of the movement coming from 1,2,3 tick moves, and there is more corrective action, then then a lot more players will turn algo's on.

There are some models for trading that do better with high volatility and some that do better with low volatility. When we are in an extended period of high volatility, like now, or February for example, a lot of these guys sit it out.

Ian


Revan View Post
Not so you "Elitist". - I, a mundane non-elitist got the terminology correct! You probably think I'm some Indian dude who trades Forex and CFD's and spent a fortnights telephone scamming pay just to get a Lamborghini photoshoot done for my Marijuana investment Facebook page cover photo. admit it.



In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #9 (permalink)
 MiniP 
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Revan View Post
Not so you "Elitist". - I, a mundane non-elitist got the terminology correct! You probably think I'm some Indian dude who trades Forex and CFD's and spent a fortnights telephone scamming pay just to get a Lamborghini photoshoot done for my Marijuana investment Facebook page cover photo. admit it.


yeah.. that's exactly what I thought.... smart enough to read my mind but not smart enough to get your shit straight before you trade.

-P

"Truth is not what you want it to be; it is what it is, and you must bend to its power or live a lie"-Miyamoto Musashi
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