Overview
E-mini futures (ES, NQ) and Micro E-mini futures (MES, MNQ) track the same underlying indices but can trade at slightly different prices intraday. This guide explains why these price differences occur and what it means for algorithmic traders.
Contract Specifications
E-mini Contracts
| Symbol | Name | Point Value | Tick Size | Tick Value |
|---|---|---|---|---|
| ES | E-mini S&P 500 | $50 | 0.25 | $12.50 |
| NQ | E-mini NASDAQ-100 | $20 | 0.25 | $5.00 |
Micro E-mini Contracts
| Symbol | Name | Point Value | Tick Size | Tick Value |
|---|---|---|---|---|
| MES | Micro E-mini S&P 500 | $5 | 0.25 | $1.25 |
| MNQ | Micro E-mini NASDAQ-100 | $2 | 0.25 | $0.50 |
The relationship is simple: 10 Micro contracts = 1 E-mini contract in exposure and dollar value.
Why Prices Differ
Despite tracking the same indices, E-mini and Micro E-mini contracts frequently show small price differences. This is accepted market microstructure, not a bug or anomaly.
Separate Order Books
E-mini and Micro E-mini are technically different contracts on the CME. They have completely separate order books, meaning buy and sell orders for ES don't interact with orders for MES. You cannot offset an ES position by trading MES contracts.
Liquidity Differences
E-mini contracts have significantly higher trading volume and tighter bid-ask spreads. Price discovery happens primarily in the E-mini market, with micro contracts following. During fast-moving markets, micros can lag the E-minis by one or more ticks.
| Contract | Avg Daily Volume | Typical Spread |
|---|---|---|
| ES | 1.5+ million | 0.25 (1 tick) |
| MES | 500,000+ | 0.25-0.50 (1-2 ticks) |
| NQ | 800,000+ | 0.25 (1 tick) |
| MNQ | 400,000+ | 0.25-0.50 (1-2 ticks) |
Arbitrage Imperfection
Professional arbitrageurs work to keep prices aligned between E-mini and Micro E-mini contracts. However, the cost and friction of executing across both markets means small divergences persist. Arbitrage isn't instantaneous or free.
Different Market Participants
E-mini contracts attract more institutional and professional traders, while micro contracts have a higher proportion of retail traders. Different order flow dynamics can cause momentary price discrepancies.
Settlement and Convergence
Both E-mini and Micro E-mini contracts settle to the same underlying index value at expiration. The CME ensures final settlement prices match. However, the CME does not guarantee intraday price parity between the contracts.
Impact on Algorithmic Trading
For algorithmic systems that trigger on specific price levels, even small price differences can affect signal generation.
Signal Divergence
A system designed for NQ might trigger a buy signal at 20,000.00. Due to price differences:
- NQ might hit 20,000.00 and trigger the signal
- MNQ might only reach 19,999.75 and NOT trigger
This leads to approximately 5-10% of signals differing between mini and micro contracts when running the same strategy.
Trade Timing
Even when both contracts eventually trigger the same signal, the timing may differ. A few seconds or minutes of delay can result in different entry/exit prices.
Backtesting Considerations
If you backtest on NQ data but trade MNQ live, your live results will diverge from backtest results due to these price differences.
FUTALGO Systems Recommendation
All FUTALGO systems were specifically developed and optimized for E-mini contracts (NQ and ES), not micro contracts (MNQ and MES).
For Best Results
Trade the systems on the contracts they were designed for:
| FUTALGO Systems | Recommended Contract | Point Value |
|---|---|---|
| Systems 1-4, 6-7 | NQ | $20 |
| System 5 | ES | $50 |
If Using Micro Contracts
If capital constraints require using micro contracts, understand that:
Capital Requirements
To trade E-mini contracts effectively, consider:
| Contract | Day Trading Margin | Suggested Account Minimum |
|---|---|---|
| NQ | $1,000-2,000 | $15,000+ |
| ES | $1,000-2,000 | $15,000+ |
| MNQ | $50-100 | $2,000+ |
| MES | $50-100 | $2,000+ |
Practical Implications
When Micro Contracts Make Sense
- Learning phase: Practice with smaller risk while learning a new strategy
- Small accounts: Build capital before scaling to E-minis
- Precise position sizing: Fine-tune exposure (e.g., 3 MES instead of forcing 0 or 1 ES)
- Diversification: Run multiple systems without overcommitting to any single market
When E-mini Contracts Are Preferred
- Signal accuracy: Match published backtest results more closely
- Lower relative costs: Commission as percentage of contract value is lower
- Better fills: Higher liquidity means less slippage
- Production trading: Serious capital deployment
Summary
E-mini and Micro E-mini contracts are separate instruments with their own order books and market dynamics. While they track the same underlying indices and maintain a 10:1 size relationship, intraday prices can and do diverge slightly.
For algorithmic trading systems, this means strategies optimized for E-mini contracts (NQ, ES) will produce somewhat different results when applied to micro contracts (MNQ, MES). The core strategy logic remains valid, but expect 5-10% signal divergence and corresponding performance differences.
Bottom line: Trade the contract your strategy was designed for whenever possible. Use micro contracts as a stepping stone, but understand the trade-offs.Information current as of November 2025. Market microstructure and liquidity conditions are subject to change.