Maximum lot size to get filled without slippage ?

Commodity_Trader · May 11, 2017

What's maximum lot size to get filled without slippage ?
for example , in the first 30 minutes of ES , 1000 lots can easily get filled .as @Handle123 once said , he trades 300 contracts per trade in first 30 minutes of ES.

so what are the maximum lot size (without slippage) in 6E ,CL ,ZN in first 30 minutes of their pit session ?

RRY16 · May 11, 2017

Commodity_Trader said:
What's maximum lot size to get filled without slippage ?
for example , in the first 30 minutes of ES , 1000 lots can easily get filled .as @Handle123 once said , he trades 300 contracts per trade in first 30 minutes of ES.

so what are the maximum lot size (without slippage) in 6E ,CL ,ZN in first 30 minutes of their pit session ?

You forgot about the 500 lot runner he had from his long term auto trading program which was hedged with coffee futures.

shatteredx · May 11, 2017

Load up Barchart.com during the open and you can see for yourself the # of contracts on the bid/ask

wintergasp · May 11, 2017

Commodity_Trader said:
What's maximum lot size to get filled without slippage ?
for example , in the first 30 minutes of ES , 1000 lots can easily get filled .as @Handle123 once said , he trades 300 contracts per trade in first 30 minutes of ES.

so what are the maximum lot size (without slippage) in 6E ,CL ,ZN in first 30 minutes of their pit session ?

I trade in clips of 10,000 lots. Any financial futures you will be able to manage without slippage, either using market orders (up to 500 lots) or using a little bit of execution logic. To model your execution system you need raw data which is pretty expensive though.

Commos futures are much more of a hassle.

On CL, with a simple execution algo, I end up with an execution cost of 0.14 ticks.

Commodity_Trader · May 12, 2017

RRY16 said:
You forgot about the 500 lot runner he had from his long term auto trading program which was hedged with coffee futures.

he never mentioned how many contracts he can trade on 6E,CL,ZN for scalping first 30 minutes of these markets . on long term ,slippage and filling may not be a problem . but in scalping even a tick costs much

Commodity_Trader · May 12, 2017

some people here m

wintergasp said:
I trade in clips of 10,000 lots. Any financial futures you will be able to manage without slippage, either using market orders (up to 500 lots) or using a little bit of execution logic. To model your execution system you need raw data which is pretty expensive though.

Commos futures are much more of a hassle.

On CL, with a simple execution algo, I end up with an execution cost of 0.14 ticks.

some people here mention that on CL, they encounter slippage for more than 10 lots .

Commodity_Trader · May 12, 2017

shatteredx said:
Load up Barchart.com during the open and you can see for yourself the # of contracts on the bid/ask

i look at them via Ninjatarder DOM ,but you can't know about slippage unless you trade in a real account on a big size.

wintergasp · May 12, 2017

Commodity_Trader said:
some people here m

some people here mention that on CL, they encounter slippage for more than 10 lots .

How much ? How often ? What execution algo ? What latency ?

If all they say is "I have slippage after 10 contracts", I assume they're not serious about the way they trade, then talk sh*t they don't know about, then you guys listen to them.

Additionally, when you see that you have 100 contracts on the bid and offers most time, I find it suspicious that someone can see slippage at 10 contracts.

X-Axis is trades on CL for May 2017, month to date.
Y-Axis is the execution cost in ticks.

Average for this month so far is 0.21 ticks

Average trade size 9821 contracts

Hope this helps

Commodity_Trader · May 12, 2017

wintergasp said:
How much ? How often ? What execution algo ? What latency ?

If all they say is "I have slippage after 10 contracts", I assume they're not serious about the way they trade, then talk sh*t they don't know about, then you guys listen to them.

Additionally, when you see that you have 100 contracts on the bid and offers most time, I find it suspicious that someone can see slippage at 10 contracts.

X-Axis is trades on CL for May 2017, month to date.
Y-Axis is the execution cost in ticks.

Average for this month so far is 0.21 ticks

Average trade size 9821 contracts

Hope this helps

Thanks for this great execution cost chart . would you please explain it more ?
i got it except the part that you said 9821 contract of average trade size .
so as you said , even with 100 contracts of CL slippage would not be a serious problem ? they claim they have 1 tick of slippage often on 10 CL contracts .my question is , how much is this slippage on average on 100 lots of CL,6E or ZN?

rolando87 · May 12, 2017

To get an idea look at the time and sales and check for big orders on a single print. Take and average of the larger lot sizes you see and theres your answer more or less. Keep in mind you will see large sizes go thru but you can spot those as large resting limit orders.

Keep in mind liquity depends on a lot of market conditions not just based on time of day. in high volatilty you might encounter 3X as much slippage.