NexusFi: Find Your Edge


Home Menu

 





ES Mini/Micros Move Tick For Tick But different DOMSs


Discussion in Emini and Emicro Index

Updated
    1. trending_up 887 views
    2. thumb_up 7 thanks given
    3. group 2 followers
    1. forum 6 posts
    2. attach_file 0 attachments




 
Search this Thread

ES Mini/Micros Move Tick For Tick But different DOMSs

  #1 (permalink)
Stav123
Manchester, UK
 
Posts: 4 since Mar 2023
Thanks Given: 0
Thanks Received: 3

Hi Everybody,

No broker has explained why the ES micro and mini futures move virtually tick by tick even though
the order books for each contract (DOM's) are different.

I get that the HFT and the arb robots make sure their is convergence to 1-2 tick, but is this the only reason why the micro and mini prices move together?

What is the purpose of showing resting limit orders that are different pertaining to each contract
if they move in tandem anyway? Of course if thee was no order books there wouldn't be business but why do they move almost exactly for different size?

Of course a big trader could move the micros hugely if it wasn't bought back in line with the mini
but I just don't understand why two contract with different DOMS move tick for tick.

Please enlighten me, it would be much appreciated.

Thanks
Stav

Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Online prop firm The Funded Trader (TFT) going under?
Traders Hideout
Ninja Mobile Trader VPS (ninjamobiletrader.com)
Trading Reviews and Vendors
Are there any eval firms that allow you to sink to your …
Traders Hideout
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
60 thanks
Funded Trader platforms
37 thanks
NexusFi site changelog and issues/problem reporting
24 thanks
GFIs1 1 DAX trade per day journal
22 thanks
The Program
19 thanks
  #2 (permalink)
 
blackgrey45's Avatar
 blackgrey45 
Marco Island, FL
Legendary Market Wizard
 
Experience: Beginner
Platform: Sierra Chart
Broker: AMP Global
Trading: MCL ES ZN MGC E6
Frequency: Several times daily
Duration: Minutes
Posts: 761 since Jul 2022
Thanks Given: 860
Thanks Received: 905

The arbs/HFTs make things between the micro and mini that competitive where there really isn't any difference to the naked eye.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #3 (permalink)
Stav123
Manchester, UK
 
Posts: 4 since Mar 2023
Thanks Given: 0
Thanks Received: 3


Hiya,

Thanks for your reply so, the size of resting orders doesn't really make any difference? So the arb/HFT black boxes bring them in line, regardless of size traded? Any divergence between them is quickly absorbed and put back into line - so what would happen hypothetically if the micros DOM was ultra thin and the mini thick? Are you saying the boxes scale up and down and any arbitrage (if any) would be very short-lived?

Its a wired one, interesting fact that all the brokers I've asked this have just ignored me.

Thanks.

Reply With Quote
Thanked by:
  #4 (permalink)
 
blackgrey45's Avatar
 blackgrey45 
Marco Island, FL
Legendary Market Wizard
 
Experience: Beginner
Platform: Sierra Chart
Broker: AMP Global
Trading: MCL ES ZN MGC E6
Frequency: Several times daily
Duration: Minutes
Posts: 761 since Jul 2022
Thanks Given: 860
Thanks Received: 905


Stav123 View Post
Hiya,

Thanks for your reply so, the size of resting orders doesn't really make any difference? So the arb/HFT black boxes bring them in line, regardless of size traded? Any divergence between them is quickly absorbed and put back into line - so what would happen hypothetically if the micros DOM was ultra thin and the mini thick? Are you saying the boxes scale up and down and any arbitrage (if any) would be very short-lived?

Its a wired one, interesting fact that all the brokers I've asked this have just ignored me.

Thanks.

I am definitely no HFT expert, however, the micro contract is smaller by a factor of 10 so it would take a very large micro order to get out of line. I also believe the Emini leads the micro and the micro follows, but this dynamic happens in milliseconds timeframe so the human eye would not see the Emini leading. All my opinion and I could be wrong.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #5 (permalink)
Stav123
Manchester, UK
 
Posts: 4 since Mar 2023
Thanks Given: 0
Thanks Received: 3

Hiya,

Thanks again for your comments, makes a lot of sense.

I think many people just take it for granted that this is what happens, but for an order flow trader
its a little unsettling seeing that the liquidity is somewhat irrelevant as the mini leads the subsequent price action, market orders hitting bids or lifting offers in the micros isn't really moving the market in the way the order book player expects it to.

Reply With Quote
  #6 (permalink)
 
blackgrey45's Avatar
 blackgrey45 
Marco Island, FL
Legendary Market Wizard
 
Experience: Beginner
Platform: Sierra Chart
Broker: AMP Global
Trading: MCL ES ZN MGC E6
Frequency: Several times daily
Duration: Minutes
Posts: 761 since Jul 2022
Thanks Given: 860
Thanks Received: 905


Stav123 View Post
Hiya,

Thanks again for your comments, makes a lot of sense.

I think many people just take it for granted that this is what happens, but for an order flow trader
its a little unsettling seeing that the liquidity is somewhat irrelevant as the mini leads the subsequent price action, market orders hitting bids or lifting offers in the micros isn't really moving the market in the way the order book player expects it to.

I used to trade and watch the MES using the limit orderbook for entry clues and quickly realized the orderbook is almost useless for the MES. I started looking at and trading the ES orderbook a few months ago and haven't looked back.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #7 (permalink)
Stav123
Manchester, UK
 
Posts: 4 since Mar 2023
Thanks Given: 0
Thanks Received: 3

Hiya,

Spot on my friend. Yep me too was just curious, reading order flow whether footprint, DOM, heatmap I found nothing useful with the micro, why I've been trading mini.

The micro lure traders though, because of the limited risk profile as opposed to the mini, but if your a short-scalper of which I am then if I cant use the order book to refine my entries then - nada.

Keep trading well.

Stav

Reply With Quote
Thanked by:




Last Updated on March 2, 2023


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts