NexusFi: Find Your Edge


Home Menu

 





How many contracts can crude handle?


Discussion in Commodities

Updated
      Top Posters
    1. looks_one mzelixon with 5 posts (1 thanks)
    2. looks_two rassi with 2 posts (4 thanks)
    3. looks_3 EgoRisk with 2 posts (1 thanks)
    4. looks_4 Quick Summary with 1 posts (0 thanks)
      Best Posters
    1. looks_one rassi with 2 thanks per post
    2. looks_two oasisjoe with 2 thanks per post
    3. looks_3 paps with 1 thanks per post
    4. looks_4 chuckclymer with 1 thanks per post
    1. trending_up 4,616 views
    2. thumb_up 12 thanks given
    3. group 7 followers
    1. forum 14 posts
    2. attach_file 1 attachments




 
Search this Thread

How many contracts can crude handle?

  #11 (permalink)
 Grantx 
Reading UK
Legendary no drama Llama
 
Experience: None
Posts: 1,787 since Oct 2016
Thanks Given: 2,826
Thanks Received: 5,059


rassi View Post
My brain is obviously hard wired to see swear words, I totally misread your first sentence lol


Sent using the NexusFi mobile app

Same here! haha.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
MC Advanced Simulated Trading.
MultiCharts
CosMik Z-TP Trading System
NinjaTrader
Legends Trading: Ask Me Anything (AMA) w/Greg Khojikian CEO
Trading Reviews and Vendors
Quantum physics & Trading dynamics
The Elite Circle
 
  #12 (permalink)
 oasisjoe 
Taipei, Taiwan
 
Experience: Intermediate
Platform: Custom
Broker: IB/IQFeed
Trading: HG
Posts: 30 since Jul 2014
Thanks Given: 21
Thanks Received: 25

Let me query my database. Yesterday (11/6/2017) to now, the average bid and ask size is 61.55 contracts. I don't think you need to worry about slippage due to bid/ask spread for a long time. There is another kind of slippage which is due to quote latency during fast market rather than on bet size. During the EIA inventory report, for example, it is not uncommon for price to move 40 ticks by the time you finish typing the order.

Reply With Quote
Thanked by:
  #13 (permalink)
 mzelixon 
Tel Aviv, Israel
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninjatrader
Trading: ES, CL
Posts: 66 since Mar 2014
Thanks Given: 61
Thanks Received: 88



paps View Post
it can take as many CNTS u have the guts to throw at it. wont tell u day or time. But here goes before CL move started


That cracked me up, I'm glad I wasn't the only one who misinterpreted it at first

Started this thread Reply With Quote
  #14 (permalink)
 mzelixon 
Tel Aviv, Israel
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninjatrader
Trading: ES, CL
Posts: 66 since Mar 2014
Thanks Given: 61
Thanks Received: 88


chuckclymer View Post
I've seen CL with more volume than ES lately, but it's normally always just behind. My mentor day trades 5-10 regularly, but throws in a 20 lot for swing trades. Deeper pockets than I've got. I think your trading style would also be a big factor. Sounds like your not a scalper, so you should be ok. Like paps said though, CL is a gutsy instrument and can leaving you speechless in the blink of an eye. Good luck and trade the edges!

Definitely not a scalper.

Much more of an intra-day swing trader.

I'm guessing at 20 lots scaling in would be quite doable, 5/5/5/5 or 10/10 etc.

But agreed, it doesn't matter what style you're trading with crude, you get on the wrong side of it you're in deep ****

Started this thread Reply With Quote
  #15 (permalink)
 mzelixon 
Tel Aviv, Israel
 
Experience: Intermediate
Platform: NinjaTrader
Broker: Ninjatrader
Trading: ES, CL
Posts: 66 since Mar 2014
Thanks Given: 61
Thanks Received: 88


fivewhy View Post
I think this has been pretty well answered.

I just wanted to mention that the term you're looking for (in case you wanted a deeper dive) is called "market impact risk". Wikipedia has a brief article; it's not super informative and not practically useful but may give perspective. https://en.wikipedia.org/wiki/Market_impact

I don't daytrade and I do not put on 10 CL k's at a time (I do algorithmic entries and discretionary exits, if that makes sense), but I agree that the market risk is going to be *roughly* the same with each additional k as long as you're under 10 k's..all other things being equal. Once you get above 10 k's, impact risk starts increasing with each additional contract added to your order. Then, once you hit 20 k's, market-impact risk really starts increasing with each additional k. This assumes there is no scaling-in/out.

Now, this is not to say that it should not be done, but this is definitely to say that a trader cannot freely enter/exit whole 20-contract positions in the same way he/she would a 10-contract position..that's all. It can be done, but the trading style has to change to accommodate.

...btw, I'm basing this on my own studies (data analysis) of order flow, so I'm sure plenty of reasonable folks could differ with me and I make no warranties about what I'm saying. But I think you can get a fairly good idea of the answers you're looking for just by watching the reconstructed tape and watching how the prices moves in accordance with the larger'ish consummated deals...at a given time of day. just my two cents.

In fact, I would say that understanding this behavior (and what should/should not happen) is a critical component of order flow trading. But mmmeh, at some point I would like to make the switch back to pure'er'ish discretionary trading and so it's on my mind atm.

That's interesting. Seems to me most people would agree that 5-10 contracts is the limit.

And then once you get into 20 zone it's probably mostly a matter of scaling in yeah?
(Also icebergs, but that's for the future for me)

Just gonna be focused on making the most of my 1-lot for now!

Started this thread Reply With Quote
Thanked by:




Last Updated on November 7, 2017


© 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