Best ES futures broker? lowest slippage? pls help

B

bluematrix

Hi

I'm currently using IB. I've done some work looking at my execution and it looks like about 50% of the time there is a 0.25 point slippage (the difference between the price you are offered to trade and the final executed price).

isn't this really bad? it could even be poor data feed. but the slippage figure i gave is on both sides - buy and sell.

thanks
 
That sounds odd.

Why not just use a marketable limit order set at the price you expect and see how often you join the book or get filled?
 
Quote from Jack_Larkin:

That sounds odd.

Why not just use a marketable limit order set at the price you expect and see how often you join the book or get filled?
More...

I trade relatively frequently based on some price levels and need 100% execution so can't use/risk limit orders.

any suggestions/advice or thoughts with other brokers?

really appreciate it. thanks
 
IB and all futures brokers just send the market ES order to Globex, so execution will be the same at all brokers (unless there is a delay transmitting the order, which is unlikely).

You can look at the time and sales data from the exchange if you want to investigate individual fills on your orders.
 
Quote from comintel:

IB and all futures brokers just send the market ES order to Globex, so execution will be the same at all brokers (unless there is a delay transmitting the order, which is unlikely).

You can look at the time and sales data from the exchange if you want to investigate individual fills on your orders.
More...

well if you have a bid-offer and regularly there is slippage then could it be the data feed is wrong? market order fill is immediate but the fill is regularly off what IB data is giving. so could this be due to poor data?
 
Quote from bluematrix:

well if you have a bid-offer and regularly there is slippage then could it be the data feed is wrong? market order fill is immediate but the fill is regularly off what IB data is giving. so could this be due to poor data?
More...

Probably the bid-offer has just moved in a fraction of a second. Maybe several people using an analysis similar to yours see the same opportunity and issue orders just before you. Some get filled and some not. You can check that out by getting the Time and Sales.

I think IB updates quotes 30 times a second or some such. Maybe you have latency in your connection which forces it to a lower update frequency.
 
Quote from comintel:

Probably the bid-offer has just moved in a fraction of a second. Maybe several people using an analysis similar to yours see the same opportunity and issue orders just before you. Some get filled and some not. You can check that out by getting the Time and Sales.

I think IB updates quotes 30 times a second or some such. Maybe you have latency in your connection which forces it to a lower update frequency.
More...

Where do i exactly find the times/sales of ES at cme/globex?

thanks in advance
 
Quote from bluematrix:

Where do i exactly find the times/sales of ES at cme/globex?

thanks in advance
More...

I am fairly sure you can see it within the IB platform but I do not use IB at the moment .....someone else will likely post where it is in TWS.,,,,
 
Just use limit orders. The quotes move much faster than your button clicking, and that will be true at any broker.
 
Quote from bluematrix:

Hi

I'm currently using IB. I've done some work looking at my execution and it looks like about 50% of the time there is a 0.25 point slippage (the difference between the price you are offered to trade and the final executed price).

isn't this really bad? it could even be poor data feed. but the slippage figure i gave is on both sides - buy and sell.

thanks
More...

try to ping the IB server. maybe you have a slow net connection.
 
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