E-mini slippage

[duard]

Seems like sometimes order flow goes "backward" in the ES which is to say size is going countertrend DURING A MEANINGFUL TREND. I attribute this to offsetting options and/or arbing cash and/or arbing other indexes.

If you spend enough time watching the tape you can see the difference. Some are definitely loading the DOM and working the ticks, whereas others wait for stops to get run or key reference points.

If you figure some consistently take money out of the market then in a zero sum game that money has to come from somewheres.

 

[romik]

If one is trading 100 lots, what argument might he have to support a limit order at high liquidity times? It is unlikely for that order to be filled successfully at desired price, if at all. If my objective is to squeeze a point or 2 at times when 150 lots get filled every second (average), well, I just want to get filled at market personally.

 

[Alexandre]

Quote from romik:

If one is trading 100 lots, what argument might he have to support a limit order at high liquidity times? It is unlikely for that order to be filled successfully at desired price, if at all. If my objective is to squeeze a point or 2 at times when 150 lots get filled every second (average), well, I just want to get filled at market personally.

that's indeed my approach now after some disappointment with limit orders.

 

[romik]

Quote from Alexandre:

that's indeed my approach now after some disappointment with limit orders.

Good on you Sasha

 

[1000]

Quote from romik:

If one is trading 100 lots, what argument might he have to support a limit order at high liquidity times? It is unlikely for that order to be filled successfully at desired price, if at all. If my objective is to squeeze a point or 2 at times when 150 lots get filled every second (average), well, I just want to get filled at market personally.

Does it depend/matter if the opposite side is taken or not?

 

[murray t turtle]

Quote from Alexandre:/romik on market orders

in your case, slippage is for sure 0.25 point, but in my example it maybe 0.25 point but not always. You are right, I'm not causing waves with 100 lots, we are just discussing another type of slippage for limit orders (not the specific subject of the poll).

Just some members asked me why I felt my limit orders were always the last to be executed.

0.25 point on 100 lots is $1250.

====================

Since the original question was limited to ES liquid times;
simply prefer my price ,thier time, limit orders pre planned targets.
And in a good move, limit orders works fine there also


However i dont try to pick tops /bottoms, in that case ,
market orders or limit orders may slip/not fill
& are more likely to slip , maybe more that that .25

 

[romik]

Quote from 1000:

Does it depend/matter if the opposite side is taken or not?

Do you use DOM? I assume that you do, but anyhow. You will be able to see limit orders on both sides (bid/ask). In principle a Market Order is given priority over a limit order, depending on how many lots you are to place at market you should get filled immediately at best prices, don't forget that it is Globex (for eminis) that manages the matching process. So assuming that most traders on ET trade no more than 100 lots in ES for example, should have a maximum slippage of .50, but when placing a market order you will reduce the chances of getting higher slippage watching prices on the DOM. You have probably seen it when there is .50 spread on ES, that would be the ideal time to get filled with higher slippage. I trade 15 lots max at the moment and have always been filled with .25 slippage, no more.

 

[1000]

Quote from romik:

Do you use DOM? I assume that you do, but anyhow.

romik, don't know if this is a silly question, but are lots from one platform/broker equivalent to another, and do they equate to some underlying number of shares/price?

 

[romik]

Quote from 1000:

romik, don't know if this is a silly question, but are lots from one platform/broker equivalent to another, and do they equate to some underlying number of shares/price?

Do you mean to say whether my platform might show different amounts of orders compared to yours? The answer to that is - it shouldn't be. The orders you are seeing come from the exchange, not your broker. Though, depending on the efficiency of your broker's system used/your internet connection and some other factors, there might be latency, resulting in slower order fills and higher slippage than what you are seeing on the screen.

I didn't understand the second part of your question, sorry.

EDIT: That's why I do advise, if trading short time frames, getting the right tools. Otherwise, you are at the mercy of higher slippage.

 

[1000]

Quote from romik:

I didn't understand the second part of your question, sorry.

Just wondered if a lot was bought, would it have to be closed before expiration, or if taken to expiration, would there be an underlying physical swap of some sort?