MES ONE Lot 2.75 Points Slippage ?

P

Pantalaimon

Hi all,

I trade with Interactivebrokers, and haved noticed several times that trading a one lot MES contract I regularly get slippage even when there is no market data/news coming out etc.

Today I had an MES order in the market with a stop loss of 4.5 points.

It got executed with a loss of 6.75 points. This happened at 14:15 CET, which if I've got this right should be 7:15am CDT.

Granted there was an ECB rate decision that came out when my stop loss was triggered.

But still, seeing as how the ES and also the MES are supposedly some of the most liquid futures markets in the world I'm really somewhat stunned at the kind of slippage I'm regularly incurring trading the smallest size possible, a one lot, and even when there isn't any market influencing data / news coming out...

Can anyone help shed some light ?

I just remember reading old threads here where people were talking of 100 plus ES orders with no more than 1 tick slippage.

So really seems to me that something is fundamentally off with my one lot getting nearly three whole points slippage.

Thanks in advance !!!
 
nothing abnormal as you traded at 14:15 CET.
That was when the ECB rate was announced.

Besides the machines,
You might be the only one in this world trading during that time.

No traders dare to trade during that time as the market could
move very violently.

Please don't do it again
 
I don't know about the MES in particular, but that time is pre-RTH in the US, so liquidity likely somewhat low. (see DOM) And in a fast market condition (like reaction to interest rate news), it's more likely to suffer greater slippage than normal.
 
During ETH, the liquidity on the ES/MES is not that great.
I guess you used stop market, and not stop limit, although it's not clear which one you used.
The minute following 7h15 AM CDT, the range was 12 pts.

Bottom line, yes this is normal in that type of situation.
 
Well back again with slippage in the MES...

I'm based in Europe and my regular trading vehicle is the ESTOXX 50 where during regular trading hours I trade a 10 contract size, and never have any slippage whatsoever.

I'm just trying to find a second correlated market to trade, the ES/MES theoretically filling that bill so far, and putting on test trades to see what I might expect execution wise.

I'm entering on stop limits, so no issues there.

I was stopped out twice long after todays CPI etc numbers had come out, and also after the initial RTH opening surge and volatility had calmed down.

I still had slippage on my two losing trades of 3 ticks one time, 2 ticks the second time.

Now not anything earth shattering obviously...

BUT

This is on a 1 contract MES trade size during RTH and not during any news/numbers induced extra volatility ???

Whats the slippage like when you're trading size ???

Whats so weird is that on the ESTOXX I never have that, on the MES practically all the time with the smallest possible position size.

Are there some execution shenanigans going on or sthg ?

This is not really sthg you should have with miniscule trade size on one of the most liquid markets in the world during RTH and non news times.

Thanks

Quite baffled to be honest...
 
Pantalaimon said:
Well back again with slippage in the MES...

I'm based in Europe and my regular trading vehicle is the ESTOXX 50 where during regular trading hours I trade a 10 contract size, and never have any slippage whatsoever.

I'm just trying to find a second correlated market to trade, the ES/MES theoretically filling that bill so far, and putting on test trades to see what I might expect execution wise.

I'm entering on stop limits, so no issues there.

I was stopped out twice long after todays CPI etc numbers had come out, and also after the initial RTH opening surge and volatility had calmed down.

I still had slippage on my two losing trades of 3 ticks one time, 2 ticks the second time.

Now not anything earth shattering obviously...

BUT

This is on a 1 contract MES trade size during RTH and not during any news/numbers induced extra volatility ???

Whats the slippage like when you're trading size ???

Whats so weird is that on the ESTOXX I never have that, on the MES practically all the time with the smallest possible position size.

Are there some execution shenanigans going on or sthg ?

This is not really sthg you should have with miniscule trade size on one of the most liquid markets in the world during RTH and non news times.

Thanks

Quite baffled to be honest...
More...
2-3 ticks on ES/MES during high volatility on MKT orders is very frequent. We're not talking about 4.5 pts anymore.
ES can move 2-3 pts in matter of a few seconds.
I was not in the market this morning when the CPI came out, but the market went down big time in no time.
 
rb7 said:
2-3 ticks on ES/MES during high volatility on MKT orders is very frequent.
More...

Hi rb

ok

I had been thinking if my being in Europe and the time it takes for the order to reach the US exchange might have sthg to do with the slippage. But if thats normal on the MES then so be it.

Thanks
 
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