Quote from Gabfly1:
I don't know what times of the day you trade, but I have never experienced that kind of slippage in NQ. I usually enter on marketable limit orders. However, I occasionally exit at market as the situation warrants, and I have not experienced the kind of slippage you describe. During liquid periods, slippage would generally be 1 tick. Meanwhile, limit order in ES, as I recall, were like getting into a queue at the DMV.
Total agree with you on the ES queuing. With a 2500 bid and 2500 offer, i dont think my chances of getting hit on the bid are very high. The YM and NQ are not as liquid but the most that is on the bid and offer is around 150-200 which is reasonable, like a small to mid cap stock.