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> Is the E-mini market so liquid that it can absorb a 50-, 100-,
> multi-hundred-contract market order without blinking an eye?
Yes. In most normal conditions, there are at least 100-200 orders
waiting within a tick or two. Usually more. Our fills agree with
that.
If you're trading 1-2 at a time, your order will never affect the
market. I think our multi-hundred-lot orders barely budge it.
> How might this vary over time and days and other conditions?
Honestly I can't answer that very well. I don't watch it closely. I
spend most of my time doing research (and reading email :-) and
waiting for my systems to signal, not watching the market depth
indicator. You'll see more volume during busy markets like the first
30-60 minutes, less during lunch hour.
> Is there anything in particular that you look
> for in the market that leads you to believe that it would then be
> particularly suitable for entering a large-size order?
The order platform we use shows market depth within 5 ticks, which is
all the CME transmits. It's not unusual to see over 1000 orders
within 5 ticks. I know I've seen over 300 on a single tick quite a
few times.
That's all for the ES, by the way. The NQ is also very liquid but
less so than the ES.
Gary
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