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E-mini slippage
- Thread starter Alexandre
- Start date
maybe we could try to define slippage as follow:
assuming the market trades at X and is at equilibrium, i.e. equidistant to the offer and the bid
and there is roughly the same number of contracts Y sitting on the bid and on the offer,
and you are next to trade and
you lift the offer or hit the bid for Y contracts,
what would be the new equilibrium price replacing X and what contracts would now sit on the offer and on the bid,
or, another way to put it,
how many contracts do you need to trade before you move the market?
or
what is the maximum number of contracts you can trade before you move X?
assuming the market trades at X and is at equilibrium, i.e. equidistant to the offer and the bid
and there is roughly the same number of contracts Y sitting on the bid and on the offer,
and you are next to trade and
you lift the offer or hit the bid for Y contracts,
what would be the new equilibrium price replacing X and what contracts would now sit on the offer and on the bid,
or, another way to put it,
how many contracts do you need to trade before you move the market?
or
what is the maximum number of contracts you can trade before you move X?
Quote from afedoro:
There's no single answer to this. Just watch the bid/ask size in real time for a few hours and you'll get a decent idea.
Sometimes the bid/ask size is 2000+ contracts and sometimes it can be in the 100-200 range for a whole minute...
Alex
yes, you are right. I trade using X-trader 100 contracts at a time and find the markets sometimes quite illiquid. I also feel like my limit orders are the last to get filled even if I placed a while ago (I believe I know why..).
I wonder what size the biggest players trade on an intra-day basis.
I also wonder how market makers (whether that function exists or you only have arbitragist) typically work on the ES.
Quote from Alexandre:
yes, you are right. I trade using X-trader 100 contracts at a time and find the markets sometimes quite illiquid. I also feel like my limit orders are the last to get filled even if I placed a while ago (I believe I know why..).
I wonder what size the biggest players trade on an intra-day basis.
I also wonder how market makers (whether that function exists or you only have arbitragist) typically work on the ES.
Do your orders have to be limit orders?
Quote from Alexandre:
I also feel like my limit orders are the last to get filled even if I placed a while ago (I believe I know why..).
Why do you think that is? Frontrunning by your broker?
The ES seems pretty liquid most of the time. I would guess you'd have to trade 200+ contracts before slippage is an issue.
Where do you place your limit with respect to the BID or ASK?Quote from Alexandre:
yes, you are right. I trade using X-trader 100 contracts at a time and find the markets sometimes quite illiquid. I also feel like my limit orders are the last to get filled even if I placed a while ago (I believe I know why..).
What do you believe to be the cause?