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Is anyone else disappointed on the new RTY rollout? I remember when the russell was fluid..and its going to take till June of 2018???? really??? guess i won't trade it till it gets all the way over to the CME. I feel ripped off by all the hype over nothing...thx CME
Can you help answer these questions from other members on NexusFi?
Yeah does kind of suck.... They claim the average of 5k contracts per day but seeing as price is largely following the volume from ICE it makes it very difficult to get fills. Last week price move 20 ticks before my order was closed. I'm not sure what they need to do. ICE obviously isn't in any rush to lose its income from this if they have until June 2018.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
Are you implying there was a 20 tick arb between CME and ICE. I would be willing to bet that wasn't/isn't the case. I'd be amazed if its more than a tick. I'm sure CME is letting 'liquidity providers' (aka HFT that will put ICE's liquidity on CME) trade for nothing, so they can definitely make money on a 1 tick arb.
What I'm trying to say is that I can see the Bid/Ask price moving away from the last traded price by up to 20 ticks before and order is filled on CME and we get a new last traded price. I'm not sure if they have to fill a limit order on CME before price will move through a level but it's just not easy to trade at the moment when there are 2 different sets of liquidity on 2 different exchanges. I'm sure the HFT can make money and I'm sure longer term position traders can make some money but scalpers like me it makes it far more difficult.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
Ahhh I understand now. When we talk about things like QM (Crude Mini), the liquidity is there but it doesn't trade at every tick like CL, hence the advice is often to chart CL but trade QM basis that chart.
I would have thought it was difficult to scalp anything when the main source of liquidity is HFT arbing another instrument for a tick. In the energy complex there are lots of contracts you can trade that fall into that category but why would you cross a 3 tick spread when you can cross a 1 tick spread in a different instrument and achieve the same goal.
Well it looks like there is finally some decent liquidity in RTY, currently about 100K contracts/day which is in the same ball part as YM.
I'm wondering if there are any indexes to guide me if I try to trade RTY. For example, if I were going to trade ES, I might look at $TICK, and if I was going to trade NQ I'd look at $TICK/Q.
Also I could look at Dow Jones Transports or similar indexes.
Are there indices that would be useful for the Russell 2000? For giggles I typed $TICK/R into my ThinkorSwim Platform, but got no love.
