Futures slippage

[Deuteronomy_24_7]

Using stop orders in thin markets during non-pit hours amounts to volunteering for high slippage.

 

[Marketmonkey]

PL has treated me very well until I moved brokers, then my slippage started looking like my first message. Before I would slip maybe $10 or $15 per contract but as you can see it has gone really sideways turning a winning system into a much less reliable strategy. Since there is no fixing this I am exploring more liquid markets. I just seem to do much better in less liquid markets as long as I use strong money management and get reasonable fills which has not been happening lately.
Thanks to all for your feedback and help.

 

[jetbird]

Look closely at how the stops are triggered. IB gives you control of this. Also, look at if the stops are native or not. This all makes a difference.

PL has treated me very well until I moved brokers, then my slippage started looking like my first message. Before I would slip maybe $10 or $15 per contract but as you can see it has gone really sideways turning a winning system into a much less reliable strategy. Since there is no fixing this I am exploring more liquid markets. I just seem to do much better in less liquid markets as long as I use strong money management and get reasonable fills which has not been happening lately.
Thanks to all for your feedback and help.

 

[BearRunner]

When trading emini S&P500 I average .75 slippage which is much better but still seems high to me. JY treats me best. PL is indeed thin but my strategy I developed for ES works much better with PL so until that changes I have to milk it but my slippage is pretty rough across the board.
Thanks for your feedback.

Damn!!!! .75 slippage on the ES.... Who is your broker??? That sucks balls hard and your getting rapped! I've never had slippage on ES. Mind you I don't trade within 5 mins either side of news either.

There is PLENTY of liquidity on ES, you should not be getting slippage.

Fair enough on some of the less liquid instruments, that's only to be expected. But ES averages 3-4000 orders per price level.

Are you using market or limit orders for your stop? Limit when triggered will put you at the END of the order queue. Maybe try using market orders....

Still, the ES should not have slippage like that. That has to be a broker issue you need to start looking at your broker more closely.

 

[i960]

Damn!!!! .75 slippage on the ES.... Who is your broker??? That sucks balls hard and your getting rapped! I've never had slippage on ES. Mind you I don't trade within 5 mins either side of news either.

Think he said it was a mistake. Only real slippage issue is PL and that's a known problem anyway:

Too all, I was multitasking one to many things and you are all right, I mistyped, not .75, ES is .25. I apologize. So the slippage from trading PL is volume, to thin? It still seemed excessive to me.

 

[bone]

Patrick Rooney got it right. There are some other markets that can get very thin as well. Cotton and Unleaded Gasoline come to mind.

 

[bone]

I've always used Stop Limit Orders. GTC.

 

[Deuteronomy_24_7]

What do you do when the market blows through your stop-limit, and you're unable?

 

[bone]

What do you do when the market blows through your stop-limit, and you're unable?

That's happened to me like twice in my career (early 90's start). Both times, resting unfilled balance of order got filled in minutes. Spreads are thankfully much more forgiving than outrights. Also, I talk to my clients about matching limit order pay up tics in sync with market vol / avg trading range.

 

[Deuteronomy_24_7]

You've placed thousands of stop-limits, and been unable only twice? You're a better man than I!