I am not currently trading futures yet, but I have done some research on your question. Seeing as you mentioned using limit orders for entry, I will only talk about the slippage on stop orders. Do keep in mind this is just what I have read, if some one with live experience would like to point out any mistakes please feel free to.
Slippage will vary depending on the amount of contracts being traded. I think it would be safe to say that the below slippage can be expected when trading 10-20 lots. And the ES probably 50 lots...
ES 0 in some cases maybe 1 tick
NQ 0-1 in some cases 2-3
YM 0-1 in some cases 2-4
ER 1-3 in some cases 4-6
The âin some casesâ is in low volume parts of the day or if the market is moving fast from news ect.
Slippage will vary depending on the amount of contracts being traded. I think it would be safe to say that the below slippage can be expected when trading 10-20 lots. And the ES probably 50 lots...
ES 0 in some cases maybe 1 tick
NQ 0-1 in some cases 2-3
YM 0-1 in some cases 2-4
ER 1-3 in some cases 4-6
The âin some casesâ is in low volume parts of the day or if the market is moving fast from news ect.