Big Slippage on ES
- Thread starter EliteTraderNYC
- Start date
The bid/ask liquidity is a mere shadow of what the ES used to be. I looked at the DOM today and it looks about as thin as 6E. With the large trading volumes and low bid/ask liquidity, you're going to get slippage.
If you care to state exactly what type of stop you had and who your broker was, I may be able to shed some additional light on this.
It happened again this afternoon! strange stuff for sure. My order was submitted through a Ninjatrader strategy meaning when the data feed hit said price it submitted a market order. Broker is AMP futures, Kinetick data feed and Trading Technologies connection.
Normally max slippage is .25 sometimes it gives you no slippage and sometimes favorable.
today was around 1pm yest was 3:58
OK. Fair enough. I thought your order was submitted at 3:58 like yesterday, assuming we are talking EST, but it sort of makes my following argument invalid anyway. At any rate, in the recent high volatility environment, a market order at two minutes before close of business is bound to get abused. However, I see no unusual volume behavior at 1:00PM EST today to cause such slippage (which you don't illustrate for today, BTW). I would talk to AMP and see what they have to say about it. Just for the record, I use AMP with CQG/NT and rarely ever experience slippage, however, virtually all my orders are limit.
WHY would there be low bid/ask liquidity if there is large trading volume? Everybody is trading ES in some secret black market now?
