markets with the least slippage

For active intraday trading, I often find transaction costs (mainly commission + trading fees) too high. I traded HK stocks before but decided to stop as transaction costs are too high to bear. What are some markets having the lowest (close to zero) transaction costs? I see FX, S&P mini, US single stocks
 
In the US, I'd say that any futures market with high volume will have the lowest slippage, especially if you're talking about retail-sized trades, as all the liquidity is forced into one place by law.
 
The following futures markets have the smallest median bid-ask, normalised by price volatility.

NASDAQ, CAC, AEX, S&P 500, FTSE, EUR, GBP, BTP, SOYBEAN, GAS, JPY, AUD, SMI, GOLD, ASX, BUND

For retail sized trades that is the best measure. US 10 year, incidentally, is about a third more than the cost of bunds.

GAT
 
If you don't mind newer concepts in investment and you have some time to research the best trading platforms and clearing networks, bitcoin has probably the lowest net transaction costs.

 
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