slippage for mini sp

[danxl]

What is the proper slippage assumption for E mini sp backward testing?

I've searched this forum on this topic, seems most people think the slippage should be 0.50, one tick when enter, and othoner tick when exit.

Suppose you buy and sell one lot at the same time, both are filled, you net position is zero, what is your lost? Very likely to be 0.25. So, the slippage is 0.25, one tick only. This should also apply when hold a contract longer. When enter, you pay only half of the spread, and exit the same. So, slippage should be around 0.25. Am I right with this?

 

[acrary]

I've traded up to 50 emini's at a time for my personal account since last year. My slippage has been 0 when using stops or limit orders. Everytime I've used market orders I've had .5 slippage per-side.

 

[Te']

Quote from acrary:

I've traded up to 50 emini's at a time for my personal account since last year. My slippage has been 0 when using stops or limit orders. Everytime I've used market orders I've had .5 slippage per-side.

1/2 pt. lot slippage on a 50lot @ market

 

[acrary]

Yep, .5 slippage everytime. Today I was trying to sell near the close. I saw the market ticking up to 909.50 and decided to wait and use a market order. Sold just before the close. I saw 909.0 on the screen just before I hit send. What was the fill? 908.50. Maybe my eye/hand coordination isn't what it used to be...

 

[wally_]

Quote from acrary:

I've traded up to 50 emini's at a time for my personal account since last year. My slippage has been 0 when using stops or limit orders. Everytime I've used market orders I've had .5 slippage per-side.

That's my experience too with limit and stop orders, although I have never traded more than 6 contracts, and in the case of 6 contracts, 4 of them have been the result of serious execution errors.

 

[ddefina]

To me slippage is defined as the difference between the price that was attempted and the price that was received. With a limit order obviously you get your price or no fill. With a Stop you are buying at the ask and selling at the bid, so you will have zero slippage up to X contracts with a broker that triggers stops correctly. A straight market order should get you the current ask when buying, but being a human, you can't hit the ask as fast as a computer with a stop, so your success rate would have to go down. Of course you might get filled better than expected if things move correctly. In reality under X contracts there should be zero slippage in the mini's using stops or limit orders, and probably between zero and .25 for market orders using the definition above.

 

[Te']

Quote from acrary:

Yep, .5 slippage everytime. Today I was trying to sell near the close. I saw the market ticking up to 909.50 and decided to wait and use a market order. Sold just before the close. I saw 909.0 on the screen just before I hit send. What was the fill? 908.50. Maybe my eye/hand coordination isn't what it used to be...

Define 'slippage'...

 

[acrary]

Slippage - for a market order it is the difference between the last trade price quoted before sending an order and the fill. For stops and limit orders it is the difference between the resting price and the fill.

 

[ddefina]

If you're going to use stops, or stop limits with a little cushion on the limit price, I would plan on zero slippage up to a reasonable number of contracts for testing. This is my real life experience. Market orders I don't know for sure.

 

[ddefina]

Quote from acrary:

I've traded up to 50 emini's at a time for my personal account since last year. My slippage has been 0 when using stops or limit orders. Everytime I've used market orders I've had .5 slippage per-side.

I don't understand how this is possible consistently unless your broker is slow in transmitting. If there's no middleman messing around, how is it possible to get screwed like that on a consistent basis?