NQ Slippage

[TickSeeker]

Any NQ traders here who can tell what kind of slippage (from stop to execution) you have experienced in your stop loss orders in the following kind of market situations ?

Please tell also what kind of order type was used (stop-limit, stop with market protection or market-limit) and the quantity.

The above image is just an example where the market moved 19,75 points in 1 second.

During last 365 calendar days there has been 613 times when this kind of sudden movement up or down has happened so if you are an active trader you should have some experience with these.

 

[imjohn]

I've had about 200 trades in NQ in the latter half of 2019. It's not my main instrument, but I trade it concurrently to ES when the ES RTH range is low.

I've gotten taken out by volatility spikes many times, but slippage hasn't been a noticeable issue, just a few ticks here and there. Majority of time I'm in/out exactly where I want. Also, I've netted more +slippage beyond my targets than -slippage beyond my stops. So I guess I've been on the right side of the sudden movements a bit more often than not.

Note, I only have experience with 10 or less contracts on NQ. Haven't made any attempts beyond that, so as of now, I have no idea (from experience) what would change if I ramped up beyond that, or at which level things would change.

 

[Turveyd]

The slow up is fine your SL will fill quickly and near price, it's those spikes where it moves which move 30pts instantly, then SL gets filled at first price quoted ie nasty hit.

 

[tiddlywinks]

I do things a little differently...
I use 2 stops with NQ...

1) a stop-limit which is based on structure -OR- for NQ, 14 tics, whichever is less. If I can't get proper entry for what I expect within that zone, my expectation is wrong. Be a hobo and jump on the correct side or get out of the way, another bus is on the way

2) Since #1 is stop-limit, I also use what I call a catastrophe stop. A plain stop to mitigate the NQ spikes you mention, IN THE EVENT the stop-limit "fails". This is a pure money stop, usually around $125/contract for NQ. This money-stop is infrequently hit as there is some air where I can be proactive. But sometimes those spikes nail me. It's extremely rare a triggered catastrophe stop has slippage beyond 8 or so tics in my experience/usage regarding price spikes.

I day trade NQ (and other indexes), no overnight holds or swings. I am an all-in-all-out trader. I avg 66 cars/day, 20-25 trades/day.

HTH

 

[comagnum]

Suspect you may have bad data - give me the date/time if you like & I can compare my market data.

I am in the NQ often including in the extended hours - it's a stable single tick orderly auction. My DOM highlights any skipped price levels beyond the opening & can't recall ever seeing this on the NQ since maybe 2010 back in the flash crash era.

I use market w/protect for most orders & sometime use MIT.

 

[tiddlywinks]

My DOM highlights any skipped price levels beyond the opening

Interesting idea. That would be useful for those trading MNQ.

 

[TickSeeker]

Suspect you have bad data - give me the date/time if you like & I can compare my market data.

The data is tick by tick from CQG. For me it looks quite normal. As you can see the ask was hit heavily by the stops and/or possible bigger buy and/or chain of them. Every level traded. In the bigger spikes like this the bid/ask spread gets wider and this is why the sell orders at the top was filled way much lower than where the latest Ask market was. The lower indicator is bid/ask volume.

Time to time I've done some checks on other markets with the datamine quotes from CME and everything has been in order. But I dunno NQ.

So if you're still thinking there is problems I can post the situation.

 

[maxinger]

Any NQ traders here who can tell what kind of slippage (from stop to execution) you have experienced in your stop loss orders in the following kind of market situations ?

Please tell also what kind of order type was used (stop-limit, stop with market protection or market-limit) and the quantity.

The above image is just an example where the market moved 19,75 points in 1 second.

During last 365 calendar days there has been 613 times when this kind of sudden movement up or down has happened so if you are an active trader you should have some experience with these.

which date and which exchange are you talking about?
which trading platform / broker are you using.

for your charting s/w, is the data free or do you pay for it?
for your trading platform, is the data free or do you pay for it?

I trade NQ futures every day & every night. past few weeks, there has no case of slippage
as volume has not been extra ordinary.

About once a quarter or half a year, there might be terrible slippage due to extremely high volume where the whole world is trading US futures.
My chart would freeze for many seconds.
anyway for such market, even if chart does not freeze, it will be very difficult to trade
because price movement would be extremely rapid.

 

[TickSeeker]

which date and which exchange are you talking about?
which trading platform / broker are you using...

Platform is SierraChart and the data provider and exchange information was given in the first post.

I trade NQ futures every day & every night. past few weeks, there has no case of slippage
as volume has not been extra ordinary.

As you can see from the following list NQ has a lot of spikes. This all is at least 8 point (32 tick) spikes occurred in 1 second from last 12 months:

Copy/paste
https://gist.github.com/porssimies/1f6034eceacfca01787138da69d74ea4

btw. How to post a simple link which doesn't open into the post? Didn't find any other way than CODE tag.

If we will check spikes at least 6 points (24 ticks) the row count goes up to 2005 which is 7-8 spikes per day.

Of course all the spikes are not against you but this gives you a good picture of the situation. Not all but for someone may be a big influencer.

 

[maxinger]

Platform is SierraChart and the data provider and exchange information was given in the first post.



As you can see from the following list NQ has a lot of spikes. This all is at least 8 point (32 tick) spikes occurred in 1 second from last 12 months:

Copy/paste
https://gist.github.com/porssimies/1f6034eceacfca01787138da69d74ea4

btw. How to post a simple link which doesn't open into the post? Didn't find any other way than CODE tag.

If we will check spikes at least 6 points (24 ticks) the row count goes up to 2005 which is 7-8 spikes per day.

Of course all the spikes are not against you but this gives you a good picture of the situation. Not all but for someone may be a big influence.

quite a few missing info.
I wouldn't be able to help you.

wrt you chart, do specify the date and time (and time zone).