ES spread and "slippage" confusion ...

[LuserName]

Hello all!

It is my understanding that the bid/ask spread on ES is pretty consistent with staying at 1 tick, but I dont know much about "slippage", I use this in quotes because I'm probably using the wrong terminology here.

My area of concern mainly is about what kind of fills to expect when I go live, since demos/sims cant help with this.

For example, if bid/ask is at 1979.25 x 1979.50 and I plan to go long...
*under normal market conditions*
would it be ok to assume I'd get filled at 79.50 using a market order?
or realistically should I expect my fill to be even higher?

what about during bear trends? would the fills be even farther off?

whats the upper limit of this "slippage" that you've experienced? Was that during a breakout or just regular market conditions?


thanks in advance for your input!

 

[nazzdack]

----bid/ask spread on ES is pretty consistent with staying at 1 tick....
----"slippage"....
----bid/ask is at 1979.25 x 1979.50....
----*under normal market conditions*
----assume I'd get filled at 79.50 using a market order?
----should I expect my fill to be even higher?
----bear trends?
----fills be even farther off?
----whats the upper limit of this "slippage" that you've experienced?
----Was that during a breakout or just regular market conditions?

1) Generally/ideally, as long as you're buying fewer contracts than what is showing on the offer, you should be completely filled on the offer.
2) If you "hesitate" on the mouse, someone else could sneak in before you and take the entire offer, and possibly the next offer, thereby possibly filling you one or more ticks higher than what you expect.
3) In a "meltdown" scenario, slippage can really be bad. The bid-ask spread can widen out also, to your detriment. Bid-sizes will tend to shrink while a cascade of sell-stops can continually be triggered with each downtick. :eek:
4) FWIW, my worst slippage occurred when I had a buy-stop filled 6 ticks away. Unfortunately, I had a limit-order to offset 5 ticks away. What really ought to have been a 4 or 5 tick profit ended up being a 1 tick loss with instantaneous fills. My buy-stop turned out to be placed at a price where there were atleast 10,000 buy-stops in front of me based on the volume print. No big whoop.

 

[tandh]

I wouldn't use market orders. With most brokers you can get something along the lines of a book trader and you just simply click the ask price and you're instantly filled. I would say that slippage is zero unless you're trading 1000s of contracts at a time.

The only inaccuracy to a sim is if you sit an order on the bid. If price just touches it, you're filled, but in real life you would be in line waiting your turn. There are a lot of people trading the ES, so the lines can get kind of long.

 

[LuserName]

excellent! thank you for the responses, both were very helpful!

 

[DREU]

Hello All,

I have question about stop loss order (stop market order) and trading ES - 70 cars.
My question is it possible that I have only 1 tick slippage if my stop loss target is hit during the day session (9.30 to 16.15).
I trade ES futures 70 cars via CQGIC trading platform. Thank you

 

[Handle123]

Limit orders are held at the exchange, stop orders are not I believe is still true. Some brokers put stop orders on their own servers at the exchange, or in their offices and some are on your own computer at your OWN risk. LOL, one day when I was using stops, noticed price was below my stop and computer I used for platform had froze up. You can use Stop Limit orders which go into Globex and use a very wide limit to make sure you get filled.
http://www.cmegroup.com/globex/files/GlobexRefGd.pdf
If you stay on top of the reports that can move the market unexpectedly, that has always hurt the worse, now I get out at least 30 seconds before, always seems traders guessing seconds before and volume dries up big time.
Some platforms have volume stops within a stop which is pretty cool, say you want to put sell stop 2005.25 with volume of 250, you can watch price hit your stop 70 times and stay in the trade but once volume on that price level gets down to 250, then it sent in as market order. Doesn't guarantee you out with 2005.25, but a little way you can stay in a trade longer if tick or two below major S/R.