ES Gaps, Slippage & Leverage

SailorG said:
That's helpful, algofy. Thank you. I can't tell you how many hours I've tried searching for this info.

During these events, have you seen brokers raise margin requirements without warning?

With the goal of mitigating systemic and brokerage risks, I'm ultimately trying to determine:
1. Number of ES contracts to portfolio value (ie leverage)
2. Cash to keep on hand at brokerage.
3. Cash to keep in FDIC insured account that can be sent to broker via ACH in 24hrs.

Thank you!
More...
Yes margin was raised by many brokers before brexit and the election.
 
Yes, this I'll be able to get to the bottom of. The historical ES slippage data was a much tougher nut to crack, thanks again!
 
I'd love to hear more too. Do you agree with the assessment that you should be able to get filled within 10 handles of a stop?
 
What/when are the largest historical gaps and slippage in the ES?

If you follow Eric Hunsador on Twitter he has daily updates on unusual slippage in the markets micro structure and you can look up his on-line charts of historical events that caused high slippage/gaps. https://twitter.com/nanexllc

You asked how much was margin raised during Brexit - On TradeStation they followed the CME & Eurex increase which was: All CME currencies and all EUREX products 200% of initial margin respectively as well as VIX futuresat 300% of initial margin.

Here is the flash crash
FlashCrash.1280x1024.gif


http://www.nanex.net/FlashCrashFinal/FlashCrashSummary.html

Trump - Upset - After Hours
Trump_Election_ES_2.PNG
 
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