[Gord]

Hi ya'll.

I'm developing an automatic trade strategy for the Russel 2000 and S&P Midcap emini futures TF and EMD during the first hour of RTH. Can anybody tell me the approximate maximum number of contracts for each that can be traded in that hour without serious slippage?

[sevensa]

Originally Posted by Gord »

Hi ya'll.

I'm developing an automatic trade strategy for the Russel 2000 and S&P Midcap emini futures TF and EMD during the first hour of RTH. Can anybody tell me the approximate maximum number of contracts for each that can be traded in that hour without serious slippage?

Since you are still developing the system, I'd say finish the system first and test it with one contract before you start to worry about maximum number of contracts. You are still far away from that point where you have to worry about things like that. Besides, what is your definition of serious slippage?

[Tams]

Originally Posted by Gord »

Hi ya'll.

I'm developing an automatic trade strategy for the Russel 2000 and S&P Midcap emini futures TF and EMD during the first hour of RTH. Can anybody tell me the approximate maximum number of contracts for each that can be traded in that hour without serious slippage?

take the first hour's volume (or an avg of # of day's 1st hr volume),
divide it by 60,
you will see the avg number of trades that can be handled in 1 minute...

go to the 1 min chart, add up all the ranges of each minute bar
then divide it by 60,
you will get the avg range of the first hours by the minutes

take the avg trade, divide it by the avg range (in ticks)...
it will get you an idea...

[Gord]

Well if the slippage is normally .2 or point .3 I could live with that. If at say at 20 contracts it began moving to .4 to .6 I would consider that questionable for my strategy and stay below that limit.

Of course I will test it on a couple of contracts first. I just want to know what sort of parameters I am looking at with these futures. Do you know?

[Gord]

Originally Posted by Tams »

take the first hour's volume (or an avg of # of day's 1st hr volume),
divide it by 60,
you will see the avg number of trades that can be handled in 1 minute...

go to the 1 min chart, add up all the ranges of each minute bar
then divide it by 60,
you will get the avg range of the first hours by the minutes

take the avg trade, divide it by the avg range (in ticks)...
it will get you an idea...

I sort of did that, but I would prefer to also hear from someone familiar with trading these futures. Especially the EMD.

[Tams]

Originally Posted by Gord »

I sort of did that, but I would prefer to also hear from someone familiar with trading these futures. Especially the EMD.

what number did you get?

[Gord]

Originally Posted by Tams »

what number did you get?

Looking at the TF it looks like about 5,000 contracts are traded each 15 mintutes in the first hour. That would be about 300 contracts per minute and 5 contracts per second. But of course that is just an average. Obviously the contracts are traded in bunches, so I expect many more contracts than 5 at a time could be traded without additional slippage. Thus my question...

[Soultrader]

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