Err lol its evening here and been a long day and I'm tired so just forget what I wrote about orders taking time to reach the exchange as my stop loss is sent out as a bracket order so should be there during the trade already...
MES ONE Lot 2.75 Points Slippage ?
- Thread starter Pantalaimon
- Start date
It's even worst then, cause bracket orders are held on the broker server until they gets triggered and forward to the exchange. You have no control on the time it takes once they gets triggered.Err lol its evening here and been a long day and I'm tired so just forget what I wrote about orders taking time to reach the exchange as my stop loss is sent out as a bracket order so should be there during the trade already...
But again, I saw ES moving many points in like 2-3 seconds.
When the shit hits the fan, things can get pretty messy very quickly.
Oh thats interesting
Hadn't realized that the CME does not allow native orders held exchange side
That may then indeed be a further contributing factor to the slippage I've been experiencing vs EUREX, which does have native orders, ie my stop loss is resting at the exchange.
Anyway it is what is.
Hadn't realized that the CME does not allow native orders held exchange side
That may then indeed be a further contributing factor to the slippage I've been experiencing vs EUREX, which does have native orders, ie my stop loss is resting at the exchange.
Anyway it is what is.
trading 13 Oct 2022 CPI data release
if you traded 100 seconds before CPI data release,
and 120 seconds after CPI data release,
you wouldn't be able to earn money.
Only those very powerful machines with intelligent programs sitting very near the Exchange might be able to earn $$$.
Databento
Sponsor
I ran some quick stats for you on a random date close to a rollover:
Code:
symbol, max_clip, mean_spread, mean_touch
MES.n.0, 199, 1.11, 26.06
MES.n.1, 53, 2.10, 5.62
MNQ.n.0, 84, 1.69, 2.99
MNQ.n.1, 120, 6.88, 1.80
ES.n.0, 452, 1.04, 34.19
ES.n.1, 250, 1.21, 11.94
NQ.n.0, 156, 2.02, 2.68
NQ.n.1, 96, 4.81, 2.59n.0 is Databento notation for lead month by open interest, n.1 is 2nd lead month, and so on.
You can see that the mean spread and liquidity at touch on MES lead month is about 1.1 ticks and 26 contracts, so for most trades you do actually expect only 1 tick of slippage.
However, we typically see 90th percentile spreads at about 2x, so if you just randomly executed 1 lot any time of the day in a uniform distribution, you'll already see 10 out of 100 trades have a slippage over 2.2 ticks!
Add on to that what others have said - if you're executing outside the US cash equity session, you can expect a larger slippage. 11 ticks is not unusual. Keep in mind that this is just a consequence of less liquidity at touch alone. There are periods of elevated volatility during the non-US session (e.g. ECB release) where the slippage will be even higher.
On the other hand, you can see ES has mean spread of 1.2 ticks and 34 lots on this day, so what you've said about executing 100 lot clips with about 1.x ticks of slippage also seems about right.
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Hi Tessa,
thank you very much for that, very interesting indeed
My initial thinking for looking at US indices along with my main EUREX instruments was their longer trading hours.
And as quite often a substantial part of US indices days range is being travelled in the early European session these days, I'd assumed that what with high degrees of correlation with indices from other corners of the world, the liquidity would be much higher, but somewhat oddly, despite the high correlation, ES/NQ don't have that liquidity outside of US RTH.
Heres what I'm talking about and what I see every morning when I wake up, great and very tradeable moves outside of US RTH:
Bespoke Investment Group recently released a study in which they stated something that many investors will find confusing, disappointing, or both. Since 1993, only one of the S&P 500’s gains has occurred during the primary trading day.
They specifically stated that purchasing the S&P 500 ETF (SPY) SPY +1.2 per cent at the open and selling it at the close each day (so you only hold it during the trading day) produced a cumulative return of -13.9 per cent (that’s a minus sign, and it’s over 27 years).
Purchasing SPY at the close of the session and selling it at the following session open produced a return of … wait for it … +634.2 per cent!
The ramifications for stock market investors can be substantial. You go to bed with the value of your portfolio at $100, and when the market opens the following day at 9:30 a.m. EST, it is no longer $100.
NTH (Normal trading hours) did not contribute to the SPY total return until about March 2021.
Since the ETF’s inception, its overall contribution is only 36.4 points, compared to a contribution of 405.4 points for overnight positions."
https://www.babypips.com/trading/difficult-traders-profit-sp
I would have assumed you'd need somewhat similar liquidity levels to keep indices aligned during the very substantial moves outside US RTH trading hours during the European AM when there is so much movement pretty much all the time, but for some reasons apparently the correlations are maintained with unequal liquidity levels.
Anyway thanks again for that data Tessa.
Best,
Markus