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If I send in a long 10k lots into Emini, but there is no liquidity at the time, what will happen to my order?
Will it get filled, and sold into the market eventually?
10k lots is the largest on MT5 platform with AMPFutures.
Are there even bigger lots existed on other platforms?
Do you hide/show your big orders if you want to move the market in your favour?Why?
The only way for there to be no liquidity would mean (1) that the markets are closed which means your order would not execute until it opens or (2) that the market are open and completely broken. This would likely be a technical issue or a total market meltdown/failure of catastrophic proportions in which case it is conjecture as to what would happen but the exchange may not honor the order. Factually, if there is no liquidity it means your orders can't be executed because no liquidity means no one is willing to trade.
You are surely thinking about "liquidity" at market price. One way to understand this, let's say you want to buy the perfect house in the perfect location with the perfect everything. Let's just say for hypothetical purposes such houses are selling for 1 million dollars but you are only willing/able to pay 300k. You might lament "There aren't any houses for sale!" when in reality there might be 5 on the market in the 800k to 2 million dollar range. There just aren't any houses for sale at your price point. There's no liquidity at 300k but there is liquidity from 800k+.
Here's a hypothetical
Your market is 100/101 and your tick size $1. You place a market order to buy 100. 20 are offered at 101, 30 are offered at 102, and 50 are offered at 103. The first 20 will fill at 101, the next 30 will fill at 102, and the last will fill at 103. Your average price would be 20*101+30*102+50*103 divided by 100. If my math was right, your average entry price in this case was $102.30.
What market are you thinking of for 10k lots? 10k is lot of contracts. On the S&P 500 Emini ES, each tick in that case would represent a 125k move.
Institutions do not execute such large orders at market all at once: the way you are thinking. They would space out such an order over some time to minimize the impact using algos such as TWAP/VWAP or as stated passive strategies such as icebergs. Traders are required to take into consideration market impacts and beyond that no one wants to run up their prices and get terrible fills. For example, they may use an algo that limits their orders to 10% or less of the total volume over a certain interval. This type of algo might watch the market and only execute 10 orders for every 100 other orders. Such an algo might also take into account the VWAP and only sell above and buy below it.
There have been cases reported of traders flashing size. This is known as spoofing or layering. It is a prohibited technique. More so, they probably use special order types to get away with this and not the traditional retail orders. Markets do not move into liquidity zones because the size is shown but rather because a group of traders bet right on direction and have similar price forecast. These traders become liquidity providers for the losing traders and longer time frame participants. On the other hand, it is said that volume attracts volume. I think some studies have shown that resting orders placed well off the market value might have more value but there is no way to see such orders because the book depth is limited.
Order book imbalances can be used by HFT and other traders in various ways. Short term traders may lean on these imbalances. For most traders, there is no need to hide their orders. But yes institutional traders can use icebergs for hiding their limit orders.
I have no problem trading on Metatrader 5 demo, using a written scalper algo.
But when I comes to Metatrader 5 live with real money, I have lost about $200 SGD.. Capital outlay is $4000 + to make up the $3000 USD.
I have seen the live market condition. The slippage is too great and I couldn't catch on the target price when closing for profit.
So I have 3 more newbie questions here:
1) Is there a trading platform and broker that allows me to have the demo environment very close to the slippage on the live futures market, so that I can test out my scalper algo very close to live market conditions?
2) Is there someone who can spare me money to trade on live market? I am not well to do.
3) Anyone knows of how many tick profits you can successfully capture in futures market given the fast slippage? I am referring to Emini S&P. Need someone who has experience scalping Emini S&P to reply me on this.
1 &3. In your first post you talk about 10K lots. I am more familiar with that term with Forex trading of mini lots. As you are also using MetaTrader I thought maybe you were spreadbetting or trading CFDs with a market market or something similar. Looking at the AMP site though it does seem to only have the equities futures available as proper futures contracts. So what is the contract symbol of the product you are trading? The ES emini (symbol ES, https://www.ampfutures.com/trading-info/contract-specifications/ ), which moves in increments of $12.50 a tick, $50 a point; is a very liquid product so you shouldn’t get any slippage at all trading small numbers of real futures contracts.
Looking at the platforms AMP offers, I know that CQG are supposed to have accurate sim fills so you could try CQG Q trader. But I am assuming you are on MT5 because you are trying to use an Expert Advisor for that platform.
2. You could try Topstep Trader ( https://www.topstep.com// ), but you have to pay to take their test, called a Combine followed by Live Trader Prep, and then they back you. They have a thread on this site, mostly positive.
Just saw this and wanted to comment that the larger-than-expected slippage is likely due to the MT5 platform and it's backend. MT5 is known for high slippage. Point being, it's probably not so much the broker or the market in this case. The ES market is essentially as liquid as you're ever gonna get at a given price....when trading during RTH. That's why I think it's the platform, not the market or broker.
Now as for a better platform for scalping? Well the answer depends on how your scalping method works. I tend to think the best option, especially if you need really tight fills, is going to be writing you're own code from scratch and connecting as directly as you can to the broker. Right now your using the MT5 client to connect to your broker's MT5 server which connects to your broker's "main trading operations server" (let's call it) which connects either i) to an intermediary which connects to the exchange or ii) to the exchange. If I'm misstating something, someone please correct me.
This latency is why MT5 is really bad and why scalping on MT5 is pretty much a nonstarter from the get-go for this reason. But again, it depends on how you define scalping and how this system works.
So the best thing seems to be coding against your broker's direct access API. IB is good for this.
However, while writing this, it also occurred to me that someone might be acting as a man in the middle and basically reselling you the contracts (or rebuying them) at a worse price....hence the slippage. Idk where you're trading or who your broker is. If it's AMP, then it's probably just normal latency and not anything nefarious ...most likely.
It also sounds like you purchased the EA that you're running. I think it's important to know and understand that it's not often someone of good moral character would be willing to sell a black box system, to just any random person, which will make money without any work/effort on the purchaser's part....it's not in his/her interest to sell such a system en masse to anyone willing to pay. Sometimes people sell good systems, but it usually comes with an NDA and require effort on your part to implement. But you probably know that. Just wanted to mention.
Good points. I imagine you are right about them acting as a market maker, due to the mini lots, and therefore being able to set the spread and therefore the entry and exit prices.
And EAs, usually 'forex robots', always cheap enough to make them worth buying without too much worry, but never seem to work.
Your question about sending a 10k contract market order on ES reminded me of a recent news event which shows what can happen in a thin market. Cryptocurrencies like Bitcoin and Ethereum are now trading on "exchanges," in a similar fashion to stocks and futures. This week, someone put a "multimillion dollar market sell order" for Ethereum, which swept EVERY SINGLE BID off the book. The price went from ?$300 to $0.10 (not a misprint - $0.10) almost instantly. Some poor guy with a large position had a stop order in - he was filled at $0.10!!
This is called a "flash crash," and it can happen, although it is much rarer on more liquid, more regulated exchanges.
