E-mini S&P, To Slippage or not to Slippage

W

wdbaker

E-mini S&P To Slippage or not to Slippage, that is the question.

I have heard numerous people say include .25pt in .25pt out for slippage.

I have heard numerous others say use limit orders and no slippage.

Can someone please break this down and tell me what really is going on.

Thanks for your profound insight ahead of time
wdbaker
 
I've written to eSignal about something concerning this. I want to graph only the ASK price during the course of the day with ES. That way, I won't have to worry so much about whether a certain price was bid/ask or what not.

However, if you are looking at a range and the high is 899.25, that was someone hitting ask. If the low for the range was 898.00, that was someone hitting bid.

You would need to subtract .50 between the range's extreme if you want an accurate idea of what you could have purchased and sold at.

I like to just focus on ASK (it could just as easily be BID, but I know during the course of the day that the spread between the two is always .25).

You might sometimes get a fill at ask or bid -- if you are in line and get hit. However, if you get in through market orders, you'll just get bid if you are selling and ask if you are buying.
 
It's like this, in normal mkt hours, you can buy the ask and sell the bid anytime you want with just a plain old mkt order. The spread is almost practically always with so very very few exceptions just one tick which is as tight as it can get it can't get any tighter.

Now, if the mkt is moving fast and bouncing around, you will still be able to hit the bid, but that bid may be moving and so you may mistakenly think that is slippage.

People figure in slippage for computer backtesting which is based on trade price rather than bid/ask. So if the trigger price trades, you figure your fill would probably be one tick worse. (Although in reality, it may many times be filled at the actual trade price.)
 
Originally posted by profitseer

positive slippage!
More...
It goes like this
1. Enter a limit order
2. Get your fill and be pleasantly surprised with the positive slippage.
3. Ask yourself, "Are you sure this was such a good idea?"
 
Originally posted by profitseer

positive slippage!
More...

Well, I guess I assumed he was asking about negative slippage, since one would usually not be concerned about positive slippage.
 
Originally posted by Quah


Well, I guess I assumed he was asking about negative slippage, since one would usually not be concerned about positive slippage.
More...

Positive slippage on a limit order almost always means I am wrong...not good, bad. very bad...
 
All,
So when I backtest, if I put in the .5pt per rt for slippage, will that really be the case or not, can anyone who has taken a system live give feedback on real world results? When you took the system live did it have slippage or no? Is it possible to get data that would specify if the trade was bid or ask for backtesting?? Or is that just being a little to picky? :D :D

Would it be safe to say that if a system is breakeven or better after slippage & commissions that it might be worth trying out realtime or am I being to optimistic? If it has to be better than breakeven, how much??

Have I asked enough questions now, good thing ET doesn't charge per question. :D :D :D

Thanks All
wdbaker
 
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