miNY (QM) vs normal Light Sweet Crude Oil (CL)

[siddhant_batra]

Hi everyone, this is my first thread on this great website, so forgive me for any mistakes.

I'm planning to start day trading Crude Oil Futures, but I realised there are 2 different kinds of contracts available for the same with NYMEX ie Crude Oil miNY and the normal full size Crude Oil contracts..

So, what should I trade? Do they have different liquidity? What should I keep in mind while choosing amongst both the kinds of contracts?

Plus, I'm planning to start trading through US based TradeStation Securities..is that a nice brokerage firm?

Does any US rule say that day traders have to start with at least $25000?

Please help, I'm from India and clueless about all these things, thanks!

 

[Adamus]

They probably do have a different liquidity but you should be able to see that by looking at their historical data.

You should know that lower liquidity means higher slippage getting in and out of trades.

Which contract you choose depends entirely on your desired risk.

I don't know much about TradeStation as a trading platform, although it's great for programming trading systems - but I don't have experience of anything else except for doing everything in Java. Actually I do know a few people trade on it and moan alot but don't change, so it must be OK.

You'll need to know a whole lot more than just the answers to these questions before you start trading, if you want to survive. Some of the basic futures books like Market Wizards and Murphy etc will give you alot.

Good luck and stick around.

 

[siddhant_batra]

First of all, thanks a lot for the reply.

Ya, I know just this info wont be enough for succesful trading.

Actually I have been a student of Technical Analysis for 2 years, and have been studying the movements of Crude Oil on an intraday basis for last 2-3 months.

I'm testing 8 different shortlisted strategies these days, including slippage costs (of 5 ticks) and brokerage (of $3 each trade). I'll hopefully be ready with my detailed and "discliplined" trading plan by the end of next week.

All I lacked was all the practical information about the Crude Oil futures, in fact I still do, thats because I'm a resident of India, and unfortunately I dont have any brokers or people here, that can give me any useful info about NYMEX Crude Oil Futures, so this website seems to be the only viable place for me to collect all this info from. (otherwise Crude Oil futures are traded in the Indian commodity exchange too, but the brokerage here is about 15-20 times of that charged in US, plus a lot of other inconveniences)

So, if TradeStation Securities isnt "that good", which would you recommend, provided that I'm charged with low decent brokerage, other charges, and supply me with realtime data of Crude Oil Futures, with tools of technical analysis..on the basis of which I plan to trade.

Some more help from you guys will be appreciated a lot!! Thanks anyway

Regards,
Sid

They probably do have a different liquidity but you should be able to see that by looking at their historical data.

You should know that lower liquidity means higher slippage getting in and out of trades.

Which contract you choose depends entirely on your desired risk.

I don't know much about TradeStation as a trading platform, although it's great for programming trading systems - but I don't have experience of anything else except for doing everything in Java. Actually I do know a few people trade on it and moan alot but don't change, so it must be OK.

You'll need to know a whole lot more than just the answers to these questions before you start trading, if you want to survive. Some of the basic futures books like Market Wizards and Murphy etc will give you alot.

Good luck and stick around.

 

[Adamus]

Hi Sid,

I presume you've visited the exchange websites? There's alot of description and specification available there. Plus if you still have questions you could even email them directly. And they may have recommended trading platforms.

NYMEX.com: Usage Agreement

This is something I have to find out more about myself, because I'm planning on trading crude futures at some point soon and all I know is that the energy markets are big, ugly and complicated :O

What I do know from developing my TA systems on a variety of markets is that crude has its own character, it either hates my system and there's nothing I can do to make it profitable, or it just loves the system and shows a good profit regardless of the tweaks and changes I make. OK, I'm exaggerating a little but do you find that too?

I'm looking at end-of-day data.

BTW good to hear you are more savvy than your original post made out!

 

[siddhant_batra]

Hi Adam,

Thanks for more info.

Cant comment on the EOD TA systems, but whatever you said about "crude's character", it happens the same with the Intraday TA systems, that I have been testing.

In fact, earlier, I used to practice my TA approach on Indian equities, and it gave me like 60% success rate. And when I applied the same to crude oil first time, it seemed to tell me "Not your piece of cake, stick with equities!"

But, then I tried a fresh approach, started from the scratch, and here I am with some TA strategies that seem to perform much more consistently than the Equities strategies.

Anyway, you may be an EOD person, but do try your shot once at Intraday, it may show you more profitable prospects.

And as you said, that you have tried TA over a variety of commodities, could you please recommend me some more? I wont start working on them right away, but will keep them in mind for future, if they are volatile and liquid enough.

But, thanks anyway for the help so far!!

Regards,
Sid

Hi Sid,

I presume you've visited the exchange websites? There's alot of description and specification available there. Plus if you still have questions you could even email them directly. And they may have recommended trading platforms.

NYMEX.com: Usage Agreement

This is something I have to find out more about myself, because I'm planning on trading crude futures at some point soon and all I know is that the energy markets are big, ugly and complicated :O

What I do know from developing my TA systems on a variety of markets is that crude has its own character, it either hates my system and there's nothing I can do to make it profitable, or it just loves the system and shows a good profit regardless of the tweaks and changes I make. OK, I'm exaggerating a little but do you find that too?

I'm looking at end-of-day data.

BTW good to hear you are more savvy than your original post made out!

 

[anandsancheti]

i know crude seems to work a little differently, and the systems applied here dont seem to be working. thus i use my system and also caliberate its movements with corelational analysis with sensex.
that is the only thing i fond that works well.

 

[Adamus]

Hmm, what do you mean by 'calibrating movements with corelational analysis with sensex'? Is sensex a piece of software? Sounds like it. It also sounds like optimisation of algorithm parameters - am I correct?

Anyway, regarding the stuff I am using, I started off using DMI and ADX alot, I found them quite useful. But I have become much more focused on short term direction rather than trends so ADX is not much use to me anymore, but I still use DMI.

I'm a 100% program trader so I don't need any charts and indicators. The TA indicators which chartists use are the basis of the algorithms I program though, and I have other measures which represent the state of the market. Overlap for instance. It's simply the number of points of overlapping bar between today and yesterday, normally averaged over 21 days. And I often compare it to the average true range over the same period.

So I have a couple of other measures like that, and I'm searching for another one right now actually to take my current system over the crest of the hill from too risky at the moment to quite tradeable.

The problem is, they all tend to be co-related or inversely co-related to some degree or other so finding a new one might not be possible, if all the new things I look at tend to be variations of something I've already got.

The variation between the markets are really interesting though. Despite working with them for several months I still don't have that great a picture of their individual characteristics, except a few stand-out ones such as Crude. I guess there are a couple which I find really difficult - the Eurodollar, mainly. That's the result I always look at first after a back-testing batch has completed, it's the one that has defied all my trading systems so far.

I do intend to move to day trading, but the way I prepare my systems would mean alot of work changing my whole trading workstation setup, so I want to find something that can work EOD first, to prove it to myself before I make that investment.

Back on topic, did you find anything useful on the crude futures contracts?

 

[siddhant_batra]

Hi Adam,

Sensex (abbreviation of Sensitive Index) is the most popular index of the Indian stock market.

Back to the topic, my confusion has reduced, but still not over.

I found this on 1 of the other threads on this website: "there are also fewer ticks per $1.00 in the eminY - the big contract has 100 ticks per $1.00 at $10 per tick = $1000 per contract, the emiNY is only 1 tick per 2.5c, so 40 ticks per $1.00, at $12.50 = $500 per contract"

Plus, there's a very low difference in the amounts of brokerage charged, on both the contracts, so trading the full size crude oil contracts may turn out to be more economical at the end of the day, if you have enough money.

Good to know you are a program trader. I'm planning to automate my trading systems in the future when I start, what is required for all that?

As far as my programming aptitude is concerned, I never pursued it professionally, but I used to top in my school and college, in the programming that was taught (BASIC, Visual Basic, C++).

And that was 1 of the reasons, I was considering TradeStation Securities for my trading, but automation may take time, so I'm also considering Interactive Brokers to start with.

Regards,
Sid

Hmm, what do you mean by 'calibrating movements with corelational analysis with sensex'? Is sensex a piece of software? Sounds like it. It also sounds like optimisation of algorithm parameters - am I correct?

Anyway, regarding the stuff I am using, I started off using DMI and ADX alot, I found them quite useful. But I have become much more focused on short term direction rather than trends so ADX is not much use to me anymore, but I still use DMI.

I'm a 100% program trader so I don't need any charts and indicators. The TA indicators which chartists use are the basis of the algorithms I program though, and I have other measures which represent the state of the market. Overlap for instance. It's simply the number of points of overlapping bar between today and yesterday, normally averaged over 21 days. And I often compare it to the average true range over the same period.

So I have a couple of other measures like that, and I'm searching for another one right now actually to take my current system over the crest of the hill from too risky at the moment to quite tradeable.

The problem is, they all tend to be co-related or inversely co-related to some degree or other so finding a new one might not be possible, if all the new things I look at tend to be variations of something I've already got.

The variation between the markets are really interesting though. Despite working with them for several months I still don't have that great a picture of their individual characteristics, except a few stand-out ones such as Crude. I guess there are a couple which I find really difficult - the Eurodollar, mainly. That's the result I always look at first after a back-testing batch has completed, it's the one that has defied all my trading systems so far.

I do intend to move to day trading, but the way I prepare my systems would mean alot of work changing my whole trading workstation setup, so I want to find something that can work EOD first, to prove it to myself before I make that investment.

Back on topic, did you find anything useful on the crude futures contracts?

 

[Adamus]

Sensex (abbreviation of Sensitive Index) is the most popular index of the Indian stock market.

Whoops, stupid me.

Regards the big crude contract, it would make sense to trade the big contract if your risk management allows you. No point in doubling your commissions and slippage otherwise.

Just to prove how little I have looked into it at this point though, I realised just now that I have been backtesting against CB, the IPE contract, when I thought I was using the NYMEX contract.

And regarding programming your systems, any background in VB or C++ will be very useful when scripting with TradeStation's "Easy Language". In your case you probably will find it "Easy" but the language definitely has its issues. I think it has a lot of competition these days but when it came out in the 80's, it was either that or C.

Doesn't Interactive Brokers interface with TradeStation? Concentrating on EOD as I do, I don't know much about automatic order placement.