bobwest 

The argument you make would suggest that an order flow trader who trades MES should be watching the orders on ES instead

Not an order flow trader, or bar trader myself, so purely hypothetical, but yes that's what I was thinking.

Rrrracer 

I'm a bar trader, and trade MES based on an ES chart. I almost never look at a standalone micro chart; when I have it is nearly identical... but while trading, I sometimes get filled/stopped by MES trading a tick level here or there where ES doesn't go.

I always advise people trading QM the crude eMini to base decisions on the CL chart not the QM chart. You comment on being stopped out in the less liquid contract on a "noise tick" is interesting and not something I have ever considered. While you can time entries and exits in Data A (less liquid) based upon Data B (more liquid), I suppose it's not possible to say, "if my stop would be triggered on Data B then stop me out on Data A.

SMCJB 

While you can time entries and exits in Data A (less liquid) based upon Data B (more liquid), I suppose it's not possible to say, "if my stop would be triggered on Data B then stop me out on Data A.

Well, ya got me thinking about it... and it appears that Sierrachart can accommodate this exact situation.





Gonna take 'er for a test drive and see how it works out.

With Bookmap/Jigsaw Vista or similar, ie a chart showing orderbook depth, there is a marked difference in the look of a QM chart compared to CL or MES compared to ES, MNQ to NQ and so on. Especially if using Rithmic data or a data feed that has full depth and not only ten layers.
I can't bring up charts now, as I don't have that data or using those programs presently, but I just remember it as something I recall from when I did do so. The fullsize products were much more defined with size resting at orders waiting for price to come to it, whereas the micro contracts at that time frequently tended to have size shadowing price up and down a constant distance above or below price. Much more what I would imagine to be algo actively.
Another point in favour of charting the fullsize product if trading the corresponding micro.

bobwest 

It may be. I would defer to someone who trades on the orders. The argument you make would suggest that an order flow trader who trades MES should be watching the orders on ES instead, which is plausible to me. Because MES is relatively speaking so thin, probably any order-based decision should be made based on ES. But if someone is following ES order flow and trading MES, sometimes their trade decisions would be out of whack, because there will be differences between the two instruments. Again, I would defer to someone who actually does it, but this does make sense to me. Bob.

Stepping-in late in this discussion, but I just found this thread and like the subject.

I'm not an order flow trader and don't use the DOM, but I look at ES chart, volume, tick and tape while actually trading MES.
Sometimes there is tick difference, which is not relevant in my case.
Recently I found out that VWAP on MES is different than the VWAP on ES. Logical ofcourse.

As long as you're not trading for a few ticks, my experience is that trading ES while watching orders on ES makes perfect sense.

Replying to OP

I think itīs because, in the end, it is the same market. In futures trading you can only trade the minimum size which is 1 contract, the size of the ES mini is 1 contract and you canīt change that like you can in forex where you can trade 1 lot or 0.1 lot in the same instrument.

So they had to create a new instrument to offer 0.1 size.

In the end the chart just mirrors the ES mini, it is better to overlay the volume of the ES mini on the micro chart.

Rrrracer 

Well, ya got me thinking about it... and it appears that Sierrachart can accommodate this exact situation. Gonna take 'er for a test drive and see how it works out.

Hi @Rrrracer,

Did you check this out yet? I'm curious to hear your experience. Does it work as advertised?

Thanks!