Futures vs Forex. Who is more liquid

I'm trying to find the most liquid market during US news releases to capitalize on short term moves in the particular market. Forex is not as liquid as people believe. I've done research to support the idea that futures are much more liquid than Forex no matter where you execute trades.
The following is a quote from the Bank for International Settlements:
http://www.bis.org/publ/cgfs11ino_b.pdf

3) The speed of price discovery
seems to be faster in futures markets than in cash markets in most of the cases, partly reflecting higher
accessibility and faster order-processing in futures markets. In such cases, it may be concluded that
futures markets are deeper and more liquid than cash markets, in the sense that they quickly reflect
incoming information, thus the degree of information content is high.

I have talked to futures brokers to learn that internet latancy is of paramount importance during news releases while trading futures products. In forex we are allowed internet latancy as there is no central marketplace for the spot forex.
Some chop shops or hedge funds are spending 50k a month on fiber alone to support their scalping on futures markets. It would be naive to think these people will never come to forex. I'm sure they are already dealing in forex and taking a large amount of liquidity from tier 1 and 2 brokers/banks.

I don't know what you've read, but I can tell you from experience that it is hard getting a limit order filled trading the Emini futures.

I have lost money after price hitting my profit target, refusing to fill, and then retracing.

If you are talking about currency futures, the Emini futures are much more liquid.

even the futures market dries up around important data. For those who wish to prove me wrong and provide data that shows otherwise please do so. I can guarantee that even the most liquid futures e.g. bund, ust, ir futures or otherwise which usually have thousands of contracts at the top of he book will decrease into the tens even for front month contracts. For those with access to exchange data from your brokers I'm sure it's a simple task of logging all price and volume changes thne you can come to your own conclusion.

Here you go live futures feed from 2 months ago during Nonfarms.

http://img19.imageshack.us/img19/5042/untitledaaxr6.gif

If FX was as cheap to trade as Futures ( discounting slippage ,which is a much greater factor in Futures then FX ) , we FX traders would be in much better shape.

that is a really cool video MD.
how close is that to real time replay?
in forex we didn't have time to reverse our positions. they spiked, gapped and ran. that was a rough NFP for me.
Well i just talked to a veteran 10 year note trader and he said he doesn't know why anyone trades forex especially around numbers.
i've owned businesses before and i know one thing is for sure. when you have ease of access to forex vs futures and advertising on the net for forex is greater than futures you are most likely getting an inferior product at the expense of promotions driving sales for the almighty bottom line. i hate to let the real "secret" out but that's what it is. top of mind awareness. it's not a book about wishing to get things. it's about top of mind awareness. if you constantly think you are going to do well you'll find ways to do well. if you are ransacked by a barage of coca cola commercials you're going to be drinking coke sometime in the near future. sorry to all the diabetics out there. still sorry cause diet coke is horrible for you.
sorry for the rant. if we step back and take a non biased look at things like the market or marketing on our televisions we see the clear picture. it takes time to sort out the noise at first. after a while you can see that all politics are garbage and you'll be farther ahead to tune them out.
sorry, ranting again.
let's get this thread going. it's the truth we're after.
if you think 1000 of us moving to futures to trade bonds and t notes is going to upset the market you not only are ignorant but you have no place here. that is my final point about freedom of information on this forum.
thanks,
jeff swanson

this does not provide any insight as to what the depth of market was, only the volume traded which for the purposes of determining which is more liquid is almost irrelevant.

Seeing as I think most ppl here dont really understand what it means when you talk about liquidity I'll provide a simple example.

Below are some quotes of what are general considered the more liquid contracts over Jan-07 nfp (fractional prices decimalised and times in GMT):

TS,Contract,Bid,Ask,BidVol,AskVol
13:29:48.985,ZN Mar07,108.28125,108.3125,353,151
13:29:49.345,ZN Mar07,108.28125,108.296875,353,1
13:29:49.454,ZN Mar07,108.296875,108.3125,9,152
13:29:50.173,ZN Mar07,108.28125,108.296875,353,191
13:29:56.314,ZN Mar07,108.265625,108.28125,200,127
13:30:00.095,ZN Mar07,108.09375,108.28125,4,127
13:30:00.157,ZN Mar07,108.078125,108.28125,1,051,127
13:30:00.282,ZN Mar07,108.078125,108.15625,1,051,20
13:30:00.532,ZN Mar07,108,108.03125,178,51
13:30:01.017,ZN Mar07,107.984375,108.03125,126,51
13:30:01.220,ZN Mar07,107.96875,108.03125,194,51
13:30:01.314,ZN Mar07,107.96875,108,194,70
13:30:01.407,ZN Mar07,107.859375,107.875,114,741
13:30:01.501,ZN Mar07,107.84375,107.875,118,741
13:30:02.157,ZN Mar07,107.828125,107.84375,245,12
13:30:02.345,ZN Mar07,107.828125,107.90625,245,296
13:30:02.579,ZN Mar07,107.859375,107.90625,11,296
13:30:02.845,ZN Mar07,107.828125,107.90625,121,296
13:30:03.267,ZN Mar07,107.828125,107.859375,121,512
13:30:03.954,ZN Mar07,107.828125,107.84375,121,120
13:30:04.064,ZN Mar07,107.8125,107.828125,104,85
13:30:04.126,ZN Mar07,107.796875,107.828125,105,85
13:30:04.204,ZN Mar07,107.796875,107.8125,105,10
13:30:04.298,ZN Mar07,107.796875,107.828125,105,17
13:30:04.392,ZN Mar07,107.796875,107.8125,105,2
13:30:05.548,ZN Mar07,107.78125,107.8125,591,2

TS,Contract,Bid,Ask,BidVol,AskVol
13:29:51.454,FGBL Mar07,116.37,116.38,48,14
13:29:54.189,FGBL Mar07,116.36,116.38,72,14
13:29:54.439,FGBL Mar07,116.36,116.37,72,40
13:29:55.267,FGBL Mar07,116.35,116.36,231,19
13:30:00.001,FGBL Mar07,116.19,116.35,126,20
13:30:00.220,FGBL Mar07,116.11,116.14,985,1
13:30:00.579,FGBL Mar07,116.11,116.12,985,800
13:30:01.298,FGBL Mar07,116.10,116.11,1,080,1,096
13:30:01.485,FGBL Mar07,116.08,116.11,205,1,096
13:30:01.704,FGBL Mar07,116.08,116.09,205,44
13:30:02.220,FGBL Mar07,116.07,116.08,443,181
13:30:02.485,FGBL Mar07,116.06,116.08,34,181
13:30:02.985,FGBL Mar07,116.05,116.06,552,7
13:30:03.954,FGBL Mar07,116.05,116.07,552,196
13:30:04.048,FGBL Mar07,116.05,116.06,552,1
13:30:04.110,FGBL Mar07,116.05,116.07,552,219
13:30:04.235,FGBL Mar07,116.05,116.06,552,31
13:30:05.235,FGBL Mar07,116.05,116.07,552,17
13:30:05.517,FGBL Mar07,116.04,116.05,457,70

TS,Contract,Bid,Ask,BidVol,AskVol
13:29:57.751,GE Jun07,9491.0,9492.0,22,203
13:30:00.017,GE Jun07,9489.0,9489.5,435,4,106
13:30:00.548,GE Jun07,9485.5,9488.0,282,200
13:30:01.032,GE Jun07,9485.0,9488.5,169,350
13:30:01.704,GE Jun07,9485.0,9486.0,169,150
13:30:02.126,GE Jun07,9485.0,9485.5,169,100
13:30:03.970,GE Jun07,9484.0,9485.5,50,100
13:30:03.985,GE Jun07,9484.5,9485.5,300,100
13:30:04.048,GE Jun07,9484.5,9485.0,300,100
13:30:04.126,GE Jun07,9484.0,9485.0,50,100
13:30:04.173,GE Jun07,9484.0,9484.5,50,188
13:30:04.564,GE Jun07,9483.0,9485.0,150,20

I'll be the first to admit that you cant do compelte analysis with the above data as the voluem is purely top of the book rather than say depth 5 ticks down, and the volume is snapped on each price chagne rather than volume change but you should be able to get an idea of how liquidity dries up to a minimum just before data and doesn't come back to normal until a good 30 seconds. Considering the contract volume at the top of the book for these contrats are usually in the '000s liqudity is quite appalling for when these so called news traders would want to trade ... and do those retail news traders honeslty believe they will have a chance against the institutions?

great data scc. thanks.
i believe if we look at forex data it is going to be much more fragmented than the ZN contracts with much lower tradable volume. The risk in forex is getting stopped out on a fake market spike engineered by and for banks. totally synthetic price spikes that to us are as real as a punch in the nose but to banks mean nothing more than easy money.
I believe the bottom line here is that ZN is more tradable than forex pairs. From what i hear right now talking to a vet if you see it on your dealing station on the ZN you get that price.
thanks for the info. this enriches the thread.
let me say again that not only to trade the news spike but to trade after the news spike it is crucial to have liquidity. this morning i was unable to get out of the most liquid pair in forex. only after 2 minutes was i able to get out. the liquidity quoted on your currenex means nothing. absolutely nothing. currenex is a technology that primes use to display pricing and to deal, but their software inherently gives an advantage to the banks. it allows for a look back period where banks can deny execution if they see a tic in the trader's favor. futures don't have this. and from what i'm told if you see the price you get the price on ZN as the most liquid instrument in the world. we have been snow balled into believing forex is the most liquid market and EURUSD being the most liquid instrument in the world. this is clearly not true. in no way is it even close. very few people know this to be true.
on another note...Scc is right about competing with hedge funds in the futures arena. they are 10ms away from the exchange therefore they get first execution and there is no denying them that. what i'm saying is we can take 100 contracts at 5 tics worse price and do very very well even compared to forex.

jeff, i like trading the 6E @125k euros for less than 5 bucks a contract round turn + 1-2 (tick) or pip spread. for an FX broker the takes 1 pip for there comish. 2 for the round turn + the 1-2 pip spread.

the cost breakdown round turn w/ 2500 to trade with:

fx 17 mini lots to equal 125k euros= $2312.00 margin. cost $45.90 (2 pips for the broker)+ spread

futures 2 contracts @250k euros = $2300 margin. cost $10.00 for the broker & cme fees + spread

lets say you get 10 net pips on the fx trade: fx=$170.00 W/$2312.00 at risk

lets say you net 12 pips on the futures trade per contract (rember you dont have to pay an extra pip going in or out in futures) 12 X 2 contracts= 24 X $12.50=$300 less comish & fees $10.00 net $290.00 w/$2300.00 at risk

for the cable the net is about the same for FX and futures so take your pick, i can't say about the others; i only trade the 6E.

the chart is a side by side of the 6E #F and the EUR at TDFX an ECN pool
MCP

if yuo're looking to trade after the initial move thne futures is def a more level playing field. Only in extreme cases does an exchange pull a contract (gret arb opps when they are brought back online however). However, the larger more liquid contracts like zn, fbgl and even ge have most of their liquidty posted via automated systems. There are many more opportunities on euribor and short sterling. With repect to getting the price you hit/lift it all depends on how fast you are as with anything else. If you hit the bid at 24. you must remmber that you seeing 24 doenst mean the bid is actually 24. It was 24 when the exchange sent the price to your broker who then relayed it to you. By the time your order to sell at 24 reaches the exchange that bid could be long gone

that volume data is great for finding S/R on a chart.
i'm looking for a good bond trader book.
any suggestions?
also what is the most liquid instrument we can trade during UK releases?
CAD releases?
AUD?
NZD?

Jeff, yes it is. i trade from the london open @ 0200CST to about 1300CST and i only trade the 6E futures contract. all news times are related to some degree for the cable, euro,yen & swiss fx mkts. for a good book on the bond mkt i dont know. i do know that Lee Child has a new Jack Reacher novel comming out this month that ill read.

MCP

you will need a book specific to bond futures, noone 'trades' the cash bond mkt.

No disrespect meant as a forum is great for doing a bit of q&a but you should have a look into these things for yourself. Ask yourself how one might find out what you're asking. Look for what futures exchanges there are and what contracts they offer. Then ask yourself whether they're likely to move on certain data. IF you're lazy you can just subscribe to all these contracts and watch/log them over figures.

I'll start you off, UK data, most obvious exchange to look at is LIFFE. Any interest rate related contract will be be a good match so take a look at any stir or bond futures and you'll come up with long gilt and short sterling

The rest is up to you

May 2007 U.S. Payroll: GBP futures

http://img504.imageshack.us/img504/7...payrollpj8.gif

US residents are prohibited from trading the gilt and short sterling. Stupid government.

http://www.interactivebrokers.com/en...?ib_entity=llc

I trade bond and currency futures. If I am going to take a position trade in the direction of the yield curve(carry), I'll trade it on the forex. All other fx trades I do in the futures (much better in my opinion). Bond futures also move similar to Euro around news times. I prefer the centralized marketplace and safety of funds. With refco, it was the forex side out of bermuda where traders got burned. On The futures side, the funds were protected by the exchange rules.

You'll find great liquidity in FX futures at all hours in any of the majors. I don't trade news, but the liquidity is there (though as already mentioned, don't try to beat the institutions at the news trade). NZD is the only contract that is really lacking liquidity (that and the crosses).

Adding to what Mezzaninehedge said about the spread, since Globex is an ECN, you can also get filled on your side of the market. Usually you have to let the market trade through your limit price, but in some instances you'll get filled w/o that happening (much rarer in the e-mini index world). In this case, you're not even paying the spread. Even still, I've never paid >1 pip spread on EUR or AUD futures.

The advent of sub-pip ECNs such as Hotspot & IdealPro is what's driving me away from FX futures, though I imagine at some point in the future CME will allow sub-pip trading on the futures as well.

Trader KGB "The advent of sub-pip ECNs such as Hotspot & IdealPro is what's driving me away from FX futures, though I imagine at some point in the future CME will allow sub-pip trading on the futures as well."

this is very true im mixing in lots of cash trades w/ my futures trades using the above ECNs.

MCP

MCP:

Joe Ross has been ranting against the FX. What is your input in regard
Forex vs Futures.
ciao
tonyj