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Either place limit orders and risk not getting filled or ensure you get filled at the cost of some slippage. I will say that if this tiny amount of slippage causes you problems, then you may need to review your trading methodology.
btw: If you are interested in the relatively liquidity of futures, take a look at the monthly S&C reports.
Volume 2017/01 ranks 6E nr 4 of the most liquid futures (ES=1; CL=2; ZN=3) at the moment.
I'll hop onto the thread to ask something related to 6E, but rather than purely the volume on the order book, I'm interested in understanding why (at least since I've started looking at it, the last week or so) there seems to be such an imbalance of market orders executed at the bid, no matter whether the price is going down or up.
I use a DOM and heatmap to look at CL and ES too, but they don't exhibit this peculiar trait.
I wouldn't put too much weight on fills on the bid vs fills on the ask regarding currencies.
In contrast to e.g. indices or commodities where the futures basically represent the market,
currencies are very fragmented across futures and Forex. So deriving buying or selling
pressure only by bid/ask is like deriving the furnishings of a flat by a look through the keyhole
of the front door.
That's what how I've come to understand it, and the main reason why I stayed away from fx was that I rely on reading order flow quite heavily. It turns out however, that even though buy/sell orders are out of whack, the combined volume and pace of the orders still tells when a pull back is getting tired, actually in a more consistent way than in CL.
One more note, I also look at cumulative delta momentum, using gomi's tools. Again with 6E it plots something totally different from what I see printed on the DOM. What am I missing?
All I trade is the 6E contract. I see you are also using Jigsaw so this will be easy to discuss.
In addition to Jigsaw I use a two tick renko footprint chart. (I trade very short term) I see imbalance on almost every renko bar HOWEVER I have not noticed a bias to either side. In my humble opinion you need to look at all four market participants when trading the 6E. (Limit buyers, Limit sellers, Market buyers and market sellers)
From my experience the limit orders are VERY important in the 6E contract. I read an article somewhere saying algo's are up to 70% of all trades in the 6E contract. It is going to take you more than a week of watching it to understand the algo games. In my opinion you can best see it by concentrating on the four to five limit levels closest to price. You can tell a lot by the pulling and stacking of limits. Put up a "Snapshot power meter" for the limits (found in the Jigsaw DOM settings) and set it to 4 or 5 levels. It is going to flip back and forth but you can usually detect which side is weaker.
I think you will start to see the order flow in the 6E if you watch it long enough. If I tried switching to CL or ES it would take me quite a while to adjust.
I respectfully disagree. The 6E is only traded on the CME. It is not "fragmented" any more so than the ES is fragmented or Bonds are fragmented. I understand the underlying moves the futures markets but isn't that the case with the ES,YM and NQ as well? Same with bonds.
I do not look at any forex data while trading the 6E; there is no need. I agree you can't judge buying/selling pressure by market orders alone; you have to look at the limit orders as well. In other words you can trade the 6E using order flow alone.
Guess, your understanding of "fragmentation" is somewhat limited.
Let's make it clearer:
The ES isn't a only a fraction of the S&P market, it makes the market since you can't trade the S&P index in cash.
The only cash alternative is constant rebalancing of the included stocks (classical arbitrage).
In contrast, 6E represents only a small fraction of the EURUSD market. You can safely bet that millions of cash/spot money
already have changed hands on a (half)pip before you even record the first blip of the 6E. Nevertheless many traders
(me included) also rely on 6E because of regulation and standardization. In addition, even with a small forex pool of
e.g. 10 banks, you normally get 50-200 times the number of bids, asks, and ticks (and noise with it) that you have
in the 6E - which is relatively impractical if you don't operate a HFT colocation centre of your own.