anyone ever experience slippage in the ES?

[erToo]

When the CME came out with the E-mini ES contract, the pit was against it. So the management threw the pit a bone making the ES contract with a .25 point tick increment (1 point equaling $50). The pit contract continued to trade in .10 increments. This allows them to have easy arbitrage opportunities.

So, ES does not trade in .25 increments because that is the way traders want it - it is because the CME decided to throw a political bone to the pit traders to quiet them down on their opposition to electronic trading. A .10 increment would equal $5 in the emini if instituted it versus the current .25 increment equaling $12.50.

A smaller increment saves electronic traders money getting in and out of trades.

Quote from brownsfan019:

Why the argument that the ES should be a .10? I've read that here before, but I like the $12.50/tick. Are you suggesting changing the ES to .10 increments, similar to when the NQ moved from .5 to .25? What's the reasoning? Obviously the ES is the most liquid and popular market, so that would imply that the traders like it the way it is. Maybe the YM could learn something...

 

[brownsfan019]

Quote from erToo:
When the CME came out with the E-mini ES contract, the pit was against it. So the management threw the pit a bone making the ES contract with a .25 point tick increment (1 point equaling $50). The pit contract continued to trade in .10 increments. This allows them to have easy arbitrage opportunities.

So, ES does not trade in .25 increments because that is the way traders want it - it is because the CME decided to throw a political bone to the pit traders to quiet them down on their opposition to electronic trading. A .10 increment would equal $5 in the emini if instituted it versus the current .25 increment equaling $12.50.

A smaller increment saves electronic traders money getting in and out of trades.

Interesting theory; however, with so many people trading the ES each day, wouldn't majority rule if in fact traders wanted a change? And if traders did not like the current setup, why is it the most popular US mini?

How do smaller increments 'save traders money'? Commissions are not going to go lower simply b/c the tick increments change. If anything, it could cost traders more since they may be more inclined to trade even more.

The NQ is a great example - was at .5 increments and changed to .25 obviously b/c traders called for it. Commissions did not change at all and now you can trade even more!

 

[dandxg]

Quote from erToo:

The tick increment is artificially set too wide on the ES, so you can say that you experience slippage on every trade.

E.G. - the ES tick is .25, it should be .10 - so you experience slippage of .15 on every trade.

Yep, 1 tick sounds right for normal market conditions.

 

[triggertrader]

Quote from apex82:

If you are placing limits you experience a tick of slippage on the way in and the way out. ES has to trade through your price to get filled... that is some BS if you ask me for one of the most liquid markets.

you are right about having the price have to go thru your limit in order to get filled. this does hurt especially when your profit objective is hit and you think you're out and then after it just hits your limit it comes back down again and you get stopped out. that has happened to me and is frustrating.
i wish limit orders can be like stop orders. stop orders are filled even if the market touches it for a split nano second on the chart you are always filled but then you need to get in or out on a limit order it may not get filled.
however, sometimes you may get filled even when it doesnt go thru your limit. i have experience that if the ES rests on the price for a few seconds or hits it a few times you can get filled. in other electronic emini products you may not because they are less liquid.
i would like to add that i have never even experienced slippage in the ES even with limit orders.
i was just wondering in the most extreme volitile times how much slippage the es has given traders since the es is the kingpin of liquidity.

 

[CFerret]

Quote from triggertrader:

that's excellent. what do yu mean by one contract? would it make a diffrence if you had more than one? i heard you can throw a 100 contracts at the es without having any effect on it or your fills.

Of course ES can easily handle many cars at once, but the more contracts the more probability for slippage to occur.

 

[erToo]

Quote from brownsfan019:

Interesting theory; however, with so many people trading the ES each day, wouldn't majority rule if in fact traders wanted a change?

The priority for change at the CME is as follows, in this order:

1.) Profits for the company.
2.) Satisfying political demands of pit traders for special privileges.
3.) What the majority of non-member traders want.

Quote from brownsfan019:
How do smaller increments 'save traders money'?

If the ES emini traded in .10 tick increments like the SP pit does - in a liquid market with no slippage you would save $15 per contract, round-trip trade (.15 X $50) X 2 = $15.

If you traded 10 contracts per day the saving at $15 per contract would be $150 per day. In a 200 day year - $3000. Thats enough savings to pay for all your commissions and (for most people) your other trading related expenses.

 

[Thunderdog]

Quote from erToo:

When the CME came out with the E-mini ES contract, the pit was against it. So the management threw the pit a bone making the ES contract with a .25 point tick increment (1 point equaling $50). The pit contract continued to trade in .10 increments. This allows them to have easy arbitrage opportunities.

So, ES does not trade in .25 increments because that is the way traders want it - it is because the CME decided to throw a political bone to the pit traders to quiet them down on their opposition to electronic trading. A .10 increment would equal $5 in the emini if instituted it versus the current .25 increment equaling $12.50.

A smaller increment saves electronic traders money getting in and out of trades.

That sounds about right.

As an aside, I called and spoke recently with someone at the CME, asking if they have ever considered reducing ES's tick size. According to him, it has been brought up by people on a number of occasions, however there are no plans to reduce tick size any time soon. It is one of the reasons that I have shifted most of my focus to NQ. To me, the difference in tick size is like crayons and pencils. I prefer to write with a pencil. I wonder what would happen to the remaining SP pit traders if ES reduced its tick size accordingly. Of course, the interests of small electronic retail traders such as myself would best be served by the shutting down of the pits altogether.

 

[Jayford]

Quote from triggertrader:

ha ha. i hear u. hope u didn't lose much on those. that can happen to anyone.
you mean to tell me that you had stop orders working going into the unemployment report to enter a trade and no slippage?

No, would never place an order before a report. I have been in positions when unexpected shit hit the fan though, so I just fire a market order to exit. Always filled immediately. never noticed a fill off what the bid/offer range was at the time I pushed the button. Often have fills better than expected, so it would be a wash if I had a few bad ones anyway.

I always enter with limit orders, exits are a combo of limit/stop/market, depending on the circumstance. If I mis a trade due to a limit order, so be it, but I certainly don't call that slippage, just a cost of my strategy.

As for tick size, I think 12.50 is acceptable.

This whole argument is interesting to me cause you aren't going to find a better market as far is slippage is concerned, with the possible exception of notes/bonds. Bonds have serious tick size also though.

 

[apex82]

Quote from triggertrader:

you are right about having the price have to go thru your limit in order to get filled. this does hurt especially when your profit objective is hit and you think you're out and then after it just hits your limit it comes back down again and you get stopped out. that has happened to me and is frustrating.
i wish limit orders can be like stop orders. stop orders are filled even if the market touches it for a split nano second on the chart you are always filled but then you need to get in or out on a limit order it may not get filled.
however, sometimes you may get filled even when it doesnt go thru your limit. i have experience that if the ES rests on the price for a few seconds or hits it a few times you can get filled. in other electronic emini products you may not because they are less liquid.

ES is the only product that I have found this to occur. With the er2 you can get filled on extreme ticks most of the time if your trading 20 contracts or less. ES is the worst stock index future for fills if you use limits... hands down.

 

[Thunderdog]

Perhaps we should initiate a grassroots campaign to petition the CME to reduce ES's tick size. Are there any leaders among us who would like to head up the cause? It would be the first move in a chess game that has yet to start and is long overdue.