Basic question: what are the best instruments

The point is that you need liquidity so you can 'get a good fill for my little contract'.

Exactly. You need liquidity.

Liquidity: asset's ability to be easily converted through an act of buying or selling without causing a significant movement in the price and with minimum loss of value.

Liquid market: Market with a high degree of liquidity, often resulting from a large number of buyers and sellers.

In the futures markets, there is no assurance that a liquid market may exist for offsetting a commodity contract at all times. Some futures contracts and specific delivery months tend to have increasingly more trading activity and have higher liquidity than others.

Maybe I didn't make clear my point:
What I mantain is that you need a high level of liquidity, that's right.
But not necessarily the highest.

I need a liquid market, but it needn't be the most liquid market on the world.
That allow me to invest in other markets, less liquid, but still very liquid.

miniSP500 is a liquid market, Butter or Milk futures are illiquid ones.

Perhaps the question could be: where is the limit?
Which level of liquidity separate liquids markets from illiquid ones?
 
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There are. If you are bullish on the US Dollar, then you open a long position on, say, EURUSD. You then hold that long position until you think the trend is starting to change. It does not matter how many weeks, months or years you are long on that currency pair as you are on the right side of the trend.

If the market tells you that your analysis was wrong, then you either close that position with a loss, or keep adding funds to your account so that you do not get a margin call.
 
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