Does it really cost 20% to trade emini?
- Thread starter Gregk
- Start date
ES usually has sufficient bid/ask volume to fill 100 lots at mkt with no slippage. I don't see any issue here? Just try it out, if it doesn't work for you then you know first hand. Simple.
It's real simple. If you put a buy order at 1000, and wait for price to come down to you, then there is zero slippage. If you get in early, you will get filled, and the bid will still be 1000 and the ask will be 1000.25. You could literally turn around and immediately sell for what you just paid for it.
Also, if you just buy market just before price flips up, then there is no slippage.
You should spend some time watching the markets pre market, when action is very slow, to get an idea of how to deal with slippage.
Also, you would probably do better with 3 contracts and shoot for 33 points, as opposed to doing 33 contracts and shooting for 3 points, especially if you don't already know the answer to the questions your asking.
Also, if you just buy market just before price flips up, then there is no slippage.
You should spend some time watching the markets pre market, when action is very slow, to get an idea of how to deal with slippage.
Also, you would probably do better with 3 contracts and shoot for 33 points, as opposed to doing 33 contracts and shooting for 3 points, especially if you don't already know the answer to the questions your asking.
$SPY does not have cheaper commisions than the ES. Anyone doing >100 contracts a day who is paying $4 a contract is paying way to much. Lease a seat, ~$600 a month and pay <$1.50 a contract.
33 contracts * 8 trades a day (4 entrys/exits) 264 cars a day.
264 * 50,000 = 13,200,000 approximate value. / 110 = ~120,000 shares a day. .005 a share is $600 a day.
As for slippage, I would be surprised, (but don't know for sure) if the SPY can handle 15,000 shares with less slippage than the ES.
When calculating slippage, and you want to buy on the open, sometimes the open will be the bid, sometimes the offer. So I do think you are double counting what you will see as slippage.
If you are used to calling to the pit, you will also gain speed and the ability to work your orders a bit. hopefully regaining the brokerage you were paying.
Hope that helps.
For back testing are you capturing the entire Level II feed? If your working off of just time and sales data your algo will not perform as expected in the real world.
For back testing you should require bid/ask to go through your limit orders for simulating executions (calculate from DOM size to fill). Last trade is often out of sync with the market price... often by over a point.
For back testing you should require bid/ask to go through your limit orders for simulating executions (calculate from DOM size to fill). Last trade is often out of sync with the market price... often by over a point.