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How many contracts can you trade before affecting market in CL and GC markets?


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How many contracts can you trade before affecting market in CL and GC markets?

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  #21 (permalink)
 
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 wldman 
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@Koepisch

What does it say about participation at Big Mike's?

A guy has everything he needs, a viable mechanical system protected from copycats and some capital to trade it. Why post or even read anything in a forum like futures.io (formerly BMT)?

There are only three types of relationship that can develop.

1) a collaborative mutually beneficial relationship

2) a benefactorial relationship...I'll seek out someone to help for no reason except to benefit them.

or 3) a parasitical relationship...I'll mine the data for information that I can use and not be concerned about providing any valuable contribution.

The immensely successful guys almost all of whom would keep their success to themselves, almost categorically, are #2 and to a lesser extent #1.

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  #22 (permalink)
 kevinkdog   is a Vendor
 
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pepelucho View Post
Thanks for the vote of confidence mike !

;-)

I've been day trading this strategy for several years and haven't blown up. I have had to do several re-optimizations throughout time tho, and have figured out how to tell when the system starts degrading and in need of another re-opt. The particular chart you see is actually a Tradestation Strategy Performance Report graph using 1 contract steadily including $2.50 broker fees per side and no slippage (which I've found to be pretty accurate up to 3 contracts).

I've only been trading what you're seeing since April, and have made about 100% profit since then.


Hi @pepelucho-

Can you explain how you do this (get no slippage)? Maybe I think of slippage differently. I define slippage as the difference between Tradestation strategy fills and my actual fills. So, if I enter and exit with market orders, I can expect 1-2 ticks slippage round turn.

The only way I know to get no slippage is to enter and exit with limit orders. But then you run the risk of being trapped in a position as market runs away.

Can you please explain?

Thanks!

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  #23 (permalink)
 
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 wldman 
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@kevinkdog

I may be wrong but even entering and exiting with limits would, I believe, sometimes leave you open to some slippage in executed price. Not sure on all brokers or all products but once touched, does a limit order become a market order. I know that I've been traded through regularly. I've also seen price improvement off of displayed limit orders, although not as wide and not as often...lol. SIM, I suspect, is spot on, no slip no failure to enter/exit.

The other reality issue with the results we examine here is IF there is no slip whatsoever, there is no way to account for the non executions where trade entry/exit never occurred. I mean from a mechanical standpoint you'd have to include those failures as they where subject to "intended" trade execution methodology. I guess.

I hope that your question gets attention as I'd love to improve my own execution technique. I use a smaller ECN like broker for spot because I feel like the inexperience of other participants is exploitable. On CME or CBOT listed products I do see significant slippage from time to time especially around a numba or EU comment. With a big lead I will get sporty and lay out limits at price target levels. I will NOT enter a new position and will usually exit a position prior to a known comment period or high profile numba. DB

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  #24 (permalink)
 kevinkdog   is a Vendor
 
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wldman View Post
@kevinkdog

I may be wrong but even entering and exiting with limits would, I believe, sometimes leave you open to some slippage in executed price. Not sure on all brokers or all products but once touched, does a limit order become a market order. I know that I've been traded through regularly. I've also seen price improvement off of displayed limit orders, although not as wide and not as often...lol. SIM, I suspect, is spot on, no slip no failure to enter/exit.

The other reality issue with the results we examine here is IF there is no slip whatsoever, there is no way to account for the non executions where trade entry/exit never occurred. I mean from a mechanical standpoint you'd have to include those failures as they where subject to "intended" trade execution methodology. I guess.

I hope that your question gets attention as I'd love to improve my own execution technique. I use a smaller ECN like broker for spot because I feel like the inexperience of other participants is exploitable. On CME or CBOT listed products I do see significant slippage from time to time especially around a numba or EU comment. With a big lead I will get sporty and lay out limits at price target levels. I will NOT enter a new position and will usually exit a position prior to a known comment period or high profile numba. DB


In futures, you should NEVER get negative slippage with limit orders. You could see positive slippage. The order book itself is a limit order book. If someone sees negative slippage on limit orders, I'd suspect the order is not going to the exchange, but the broker is doing some conversion, and then submitting your order as a market order (which hits the exchange as a limit order, with really wide limit).

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  #25 (permalink)
 
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 wldman 
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on listed products there should be no slip...that is if the "order" resides on the server at the exchange. Where the order rests as an "indication of interest" at the broker or on the analytic platform you might get what looks like slippage.

My point was subtle. I was implying that claims of no slip on market orders versus platform strategy executions probably indicate SIM results not live results regardless of product. Marketable limit orders exist on regulated exchanges. In the wild wild west spot markets there is no such thing as a marketable limit as "indications of interest" do not have standing in a "book". I"m not sure, but I do not thing for spot that there is a universal standard for the handling of customer orders. Where they reside or how and when they are reflected, I believe is up to the procedures of the brokers desk.

My reference to slippage on the listed markets might not be qualified by the same terminology. When I "hit the button" to buy market and the offer is 1.2961, I may see a fill higher than 1.2961. If in the same instance I was resting on a listed exchange I would expect 1.2961. Around comments or numbas the number you see reflected on the inside may or may not be held to fill....that is why I try to avoid that.

DB

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  #26 (permalink)
 kevinkdog   is a Vendor
 
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wldman View Post
on listed products there should be no slip...that is if the "order" resides on the server at the exchange. Where the order rests as an "indication of interest" at the broker or on the analytic platform you might get what looks like slippage.

My point was subtle. I was implying that claims of no slip on market orders versus platform strategy executions probably indicate SIM results not live results regardless of product. Marketable limit orders exist on regulated exchanges. In the wild wild west spot markets there is no such thing as a marketable limit as "indications of interest" do not have standing in a "book". I"m not sure, but I do not thing for spot that there is a universal standard for the handling of customer orders. Where they reside or how and when they are reflected, I believe is up to the procedures of the brokers desk.

Yes, I totally agree!

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  #27 (permalink)
pepelucho
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kevinkdog View Post
Hi @pepelucho-

Can you explain how you do this (get no slippage)? Maybe I think of slippage differently. I define slippage as the difference between Tradestation strategy fills and my actual fills. So, if I enter and exit with market orders, I can expect 1-2 ticks slippage round turn.

The only way I know to get no slippage is to enter and exit with limit orders. But then you run the risk of being trapped in a position as market runs away.

Can you please explain?

Thanks!

yes, I can explain.

there is slippage but it doesn't affect my strategy that much. I find that about half of the trades slip about 1 tick and maybe around 10% of the trades slip 2 ticks. However, it doesn't affect my strategy that much because my trade automation places bracketed exit orders (one for profit one for loss) as soon as my entry order is filled. If the entry order is filled with lets say a 1 tick slip, the exit OCO orders will be adjusted accordingly by 1 tick. Very very occasionally (it's happened only twice in 2 years of trading) that one tick slip will cause my trade to be a loser while Tradestation shows it as a winner because the stop loss exit filled because of that 1 tick difference.

This is the exact reason I am curious to know how many contracts I can push my strategy to before there is a substantial deviation between Tradestation backtesting and the real trading.

Hope that makes sense.

Just to be more clear, I enter the market with stop market orders, and my bracket is stop for the loss and limit for the profit.

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  #28 (permalink)
 kevinkdog   is a Vendor
 
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Thanks. Ok, so you do get slippage, but you adjust your exits to compensate. I'm surprised that moving profit target and stop loss by 1 tick has only given different results that TS strategy fills 2 times in 2 years, but good for you!

Thanks again!

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  #29 (permalink)
pepelucho
portland, OR
 
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wldman View Post
@Koepisch

What does it say about participation at Big Mike's?

A guy has everything he needs, a viable mechanical system protected from copycats and some capital to trade it. Why post or even read anything in a forum like futures.io (formerly BMT)?

There are only three types of relationship that can develop.

1) a collaborative mutually beneficial relationship

2) a benefactorial relationship...I'll seek out someone to help for no reason except to benefit them.

or 3) a parasitical relationship...I'll mine the data for information that I can use and not be concerned about providing any valuable contribution.

The immensely successful guys almost all of whom would keep their success to themselves, almost categorically, are #2 and to a lesser extent #1.

I don't understand why there is this attitude that someone should just share or give away their hard work for others to profit from.

I've spent over 6 years adjusting and perfecting this system, getting it to be as profitable as it is now. There is a limit to how many contracts can be traded with this system, which I haven't discovered yet. There is just absolutely no reason why I should just give it away to my detrement. Does Coca Cola share their secret formula ?

What I can share, is my knowledge from the experiences I have learned of going down this road. No one here who has a viable working profitable system is going to just give it away. Be realistic.

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  #30 (permalink)
pepelucho
portland, OR
 
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kevinkdog View Post
Thanks. Ok, so you do get slippage, but you adjust your exits to compensate. I'm surprised that moving profit target and stop loss by 1 tick has only given different results that TS strategy fills 2 times in 2 years, but good for you!

Thanks again!

sure, no prob.

To be clear, I've only traded up to 3 contracts, it remains to be seen how true the trading is to the backtest once I reach something like 10 or 20. I'm guesstimating that I might incur a 10% hit vs the backtest once Im up to those number of contracts, but given that the system should be pulling in 180K/year at 10 contracts, I can live with a 10% hit.

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