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.
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.
Did you get a chance to ask AMP? What did they say?
For some reason, there have been a LOT of threads here about slippages in ES. Why is there so many? ES is supposed to be one of the most actively traded futures instrument with one of the highest daily volume so WHY would there be so much slippages?
Are we really trading on prices straight from the exchange? Is there anyway for us to verify that? Is there any way for us to see realtime price streamed directly from CME?
While ES is definitely one of the most liquid futures contracts out there, you have to notice the huge surge in volatility when the OP mentioned his fills. We have gone from days of the vix down near 12 to 52 or so at one point. In a matter of days. The average range of the ES has gone from 18 points or so to 45 very quickly. So it's going to trade differently at times. While 1 point slippage is not common at all, when it gets nuts it will happen. His trade also occurred with 2 minutes before the cash close, which normally is the most volatile part of the session. Combining the surge in volatility and the timing of his trade it really doesn't surprise me.
This has nothing to do with The CME or the firm he trades through. I trade my PA through the same firm and had no problems at all with Slippage in the ES.
There probably is some technical way to, that I'm not sure. I use TT through AMP's TTNet connection. It NEVER slows down. I have used Esignal forever and their feeds are for the most part are very reliable. During the whole Aug 24th debacle, my Esignal was actually behind by maybe 5-10 seconds at times, but my TT connection through AMP was right on top of the market. When we came off the 2nd limit down it became more apparent that Esignal was a bit behind (which is understandable considering how nuts it was.......will happen during insane voaltility), but amazingly my TT was right on top of things.
I haven't experienced any slippage but only started trading recently. Is there no way to avoid this, like avoiding high volatility market conditions? Can't you look at the depth of the bid and ask on the DOM to get an idea of how much liquidity is there before you place a market order?