The “big” money in emini trading is in the ES (S and P) contract and most traders relish the idea of cashing on the allure this contract holds. And it’s true, the ES contract commands a tremendous amount of participation, and results in a huge number of contracts traded every day. For the average trader, slippage is not a real worry on the ES contract because of the overwhelming volume traded in this contract.
The YM contract, on the other hand, seems diminutive in volume stature when compared to the ES contract. And while you can easily trade 100 contracts at a time on the ES (which I personally never have), 100 contracts would stretch the liquidity of the YM contracts volume. One quick note, all of the open interest is not correctly reported on both contracts, as some firms use stealth type technology to conceal a portion of the volume they are trading.
Just the same, the ES is certainly the grandaddy of the emini contracts. As I have mentioned in other articles, the futures markets are a zero-sum game, which is to say that for every winner there is a corresponding loser. This contrasts to the NYSE where unmatched trades are covered by market makers who make sure there is a trading market in their respective stock regardless of the short or long volume.