Short horizon · execution first
Scalping 6C Futures: Market-Quality and Cost Gates
Suppose a plan seeks six standard 6C ticks. A one-tick spread, one tick of adverse entry, one tick of adverse exit and round-turn fees can consume most of that gross objective. The first scalping question is not “Which pattern?” It is “Is enough executable movement left after friction?”
Required evidence
A Candle Chart Cannot Measure the Whole Trade
Short-horizon results depend on queue position, spread changes, available size and the exact sequence of trades and quotes. Bar data can generate a candidate but cannot prove that a limit order filled, a stop filled at its trigger or several contracts received one price.
Minimum live inputs
- Exact dated 6C or MCD contract
- Best bid, best ask and displayed quantities
- Recent trades with exchange timestamps
- Working-order status and partial fills
- Scheduled-event clock and daily-break status
- Current broker fees and order-type support
Minimum research inputs
- Point-in-time trades and quote updates
- Contract roll and holiday mapping
- Order-side assumptions and latency
- Queue model or conservative no-fill rule
- Commission, exchange and brokerage fees
- Rejected, cancelled and unfilled candidates
The CME central limit order book is observable for the traded futures contract, but 6C is not the entire global CAD market. OTC spot, forwards and other venues can move without appearing as 6C resting depth. Treat the book as execution evidence for 6C—not a complete map of every Canadian-dollar order.
Before the pattern
Set Market-Quality Thresholds in Dollars
The current standard 6C outright tick is 0.00005 and worth $5; MCD uses 0.0001 and $1. Verify the exact products on the canonical contract page. Then declare thresholds relative to the plan rather than using vague labels such as “liquid.”
| Gate | Measure before entry | No-go condition |
|---|---|---|
| Spread | Current and recent percentile in ticks | Above the predeclared cap or unstable across updates |
| Usable depth | Displayed size at prices the order can actually reach | Planned quantity would sweep beyond the slippage budget |
| Trade continuity | Time between trades and two-sided activity | Stale prints or one-sided jumps make the trigger unreliable |
| Expected friction | Spread + slippage + fees for entry and exit | Net target fails the required payoff threshold |
| Event state | Time to scheduled release and declared blackout | Inside the blackout or first normalization interval |
| Contract state | Volume and depth versus adjacent month | Liquidity has migrated or expiry cutoff is too near |
Thresholds should come from the trader's own sampled fills and order book, split by contract, window, event state and quantity. A fixed “one tick slippage” assumption is convenient, not permanent evidence.
Operational definition
Name the Decision, Not a Pattern That “Works”
This page does not claim that a pullback, range fade or micro-breakout is profitable. A testable scalp needs one decision task with observable entry, invalidation and expiry conditions.
Illustrative research candidate
Failed excursion at a predeclared session boundary
- Context
- A level generated before contact under the level-provenance method
- Trigger
- Trade beyond the band, then return inside within a fixed number of quote updates or completed bars
- Entry
- Declared order type only after the market-quality gate still passes
- Invalidation
- Renewed acceptance beyond the excursion extreme plus tolerance
- Expiry
- Cancel if unfilled after the fixed short horizon or if the event state changes
- Review
- Measure net outcome, adverse/favorable excursion, partial fills and missed orders
The example is deliberately a specification, not a recommendation. Change any field only by creating a new version and evaluating it on later data. Do not transform a losing failed-excursion plan into a breakout trade after the invalidation prints.
Execution branch
Every Order Type Trades One Risk for Another
There is no universally best order. Select the failure mode the plan is designed to tolerate, then log whether the platform and broker implement it as expected.
| Instruction | Primary benefit | Primary failure | Review field |
|---|---|---|---|
| Passive limit | Sets worst price if filled | No fill, partial fill or adverse selection | Queue estimate and post-touch move |
| Market / protected market | Prioritizes immediate execution within venue controls | Slippage or residual unfilled quantity at protection boundary | Arrival price and volume-weighted fill |
| Stop-limit | Controls limit after trigger | Can trigger and remain unfilled | Trigger time, limit and missed exit |
| Stop with protection | Activates across a defined protection range | Residual can rest at the protection limit | Worst fill and remaining quantity |
Fast repricing can produce a worse fill, a protected stop can leave quantity, and a stop-limit can fail to exit. Calculate size with an adverse-fill allowance and a separate gap scenario using the 6C sizing workflow.
Worked cost test
Small Gross Edges Are Fragile
For one hypothetical standard 6C scalp, assume a six-tick target and four-tick structural stop. Assume one tick of spread cost, one tick adverse entry, one tick adverse exit and $8 round-turn fees. The assumptions are teaching inputs, not findings about current normal fills.
If target fills
Six ticks equal $30 gross. Subtract three ticks ($15) plus $8 fees: $7 net in the scenario. More than three-quarters of the gross objective is consumed.
If stop fills
Four ticks equal $20 gross loss. Add three ticks ($15) plus $8 fees: $43 loss in the scenario. One target winner would not offset one stopped trade.
A strategy with these economics would need an unusually high valid win rate merely to break even, and the exact threshold must include all outcome states and fill probabilities. The correct response is not to assume better fills. Increase gross opportunity, reduce verified friction, change the order logic or reject the plan.
Hard exclusions
Some Windows Belong on the No-Trade List
A release can be tradable under a dedicated event strategy, but it should not enter an ordinary scalp sample by accident. Maintain a current calendar from the responsible institutions.
- Bank of Canada policy decisions, Monetary Policy Reports and scheduled press conferences inside the strategy's blackout.
- Statistics Canada labor, CPI, GDP and trade releases named by the protocol.
- Material U.S. inflation, employment and Federal Reserve events that can reprice the USD side.
- CME daily maintenance break, published holiday exceptions and the reopening interval defined by the plan.
- Contract-roll migration or impending expiry when the chosen month's market quality no longer passes.
- Data-feed gaps, clock drift, rejected orders, platform degradation or inability to verify open quantity.
Do not use fixed local-clock memories for releases or exchange hours. Daylight-saving differences can temporarily shift the local conversion even when the source institution's clock is unchanged.
Simulation discipline
Replay the Orders, Not Just the Candles
No original 6C scalp study is reported here. Before live use, replay the exact rule with chronological data and conservative fill logic.
- Hide the future.Advance event by event; do not inspect later bars before marking the decision.
- Submit a simulated instruction.Record arrival time, side, price, quantity and order type. A touched limit is not automatically a fill.
- Model partials and cancels.Keep residual quantity and cancellation latency. Charge the actual number of contracts filled.
- Apply exit mechanics.Simulate target, stop, time exit and protective range under the same sequencing rules.
- Charge all friction.Use fees and spread/slippage distributions by window, not one optimistic constant.
- Validate later.After rules are frozen, test untouched contracts and regimes. Permit rejection if net results do not survive stress.
Pre-submit card
Go Only When Every Box Passes
No-go is the default if any current input is missing. After the trade, record planned versus actual spread, slippage, fees, fill ratio, latency, exit reason and rule deviations. That cost record—not confidence—determines the next calibration.
Sources and methods
- CME Group FX Product Guide 2026 for 6C and MCD units and outright increments.
- CME Group Futures Order Types for limit, market, stop-limit and stop-with-protection behavior.
- CME Group holiday and trading hours for current break and holiday checks.
- Bank of Canada policy interest-rate schedule and decisions, Statistics Canada major economic releases calendar and U.S. Bureau of Labor Statistics release calendar for event-source examples.
- CFTC Futures Market Basics for leverage and risk context.
Sources and methods were reviewed August 13, 2026. This page reports no original scalping result and does not claim that the illustrative setup or cost assumptions work. Replace hypothetical fees and slippage with current broker terms and an auditable sample of actual or conservatively simulated fills.