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How to know the number of contracts you can trade before having a lot of Partial Filled ?

(Last Updated On: September 20, 2011)

How to know the number of contracts you can trade before having a lot of Partial Filled ?

I like to trade the 6E future for lots of reason. I need to trade big amount of contracts… Of course , diversification is a solution but I would like to know if there is a ‘formula’ to calculate the partial filled risk ? My systems uses multi targets , stop loss… And partial filled are a logical problem to manage…

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Are you placing limit orders? If so, your partial fills all depend on market action, but if you place market orders, you can calculate the average size by looking at the depth of the book and use that to determine how much size you can get off, but the book is only 5 ticks deep on each side, so that is somewhat limiting. In general, there are always at least 250 contracts displayed on bid and ask during the day session, so if you are willing to sweep the book then you can tell how much size you can get off. You shouldn’t need to sweep the book though, because algos should fill you based on spreading between different currencies, which means that there is a lot more liquidity that what is being shown.

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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