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How is it that the two could be so far apart at a given time?
I only noticed this happened because my broker filled an /ES order at 87 and instantly closed at stop loss of 83, which /ES never got close to. Waiting to hear why this happened.
There were three lots of important news at 8:30am, personally I wouldn't have had a resting order sat in the market.
Having said that though looking at my CQG feed for ES and MES charts at 8:30am with a 1minute bar, I agree that you should have been okay for an 87 fill with an 83 stop on the ES.
"You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade" - Gary Norden
Probably shouldn't have had an order at 87 at the time. Either way, I'm mainly curious about the /es /mes correlation now. Does /ES vary from /MES by 6.25 points often? Seems surprising they got so far out of sync.
Compare the MES and ES charts of a typical day and price is usually within a tick, as in the 1 minute bars before and after 8:30am. The 8:30am news volatility would have been quick as the order book would have been very thin prior to the release so easy for correlations to briefly get out of line.
"You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade" - Gary Norden
While the two contracts are always constantly arriving at the same point how they get there is going to differ due to differences in order flow and liquidity on a moment to moment basis. You can bet that incident got arb'd instantly until the prices were once again in synch and that arbing is constantly occurring to keep them so.
