Slippage/Market orders on ES

[Swan Noir]

No ... they are not the same. When the market is 47.25 x 47.50 the tic is spread. When you execute an at the market buy into that .25 x .50 market and you don't get your fill at .50 (or a better example is when I have a buy stop @.50 -- which becomes a market order -- but get filled @.75 or even 48.00) the extra tic or two is slippage.

None of this (particularly two tics of slippage) is common in ES but, as an example, is quite common in CL. Keep in mind just before you get executed for your one, five or twently lot a player could sweep 400 offered and still not complete his 500 lot order. It happens and it even happens on occasion during RTH. Again, it is not common. ES is one of the few markets where you can execute market orders with little to no concern of slippage. The overwhelmingly high percentage of your trades will execute at zero slippage.

Quote from QuantWizard:

Spread is always 1 tic with ES, so in this case they are the same.

 

[QuantWizard]

Quote from Swan Noir:

No ... they are not the same. When the market is 47.25 x 47.50 the tic is spread. When you execute an at the market buy into that .25 x .50 market and you don't get your fill at .50 (or a better example is when I have a buy stop @.50 -- which becomes a market order -- but get filled @.75 or even 48.00) the extra tic or two is slippage.

None of this (particularly two tics of slippage) is common in ES but, as an example, is quite common in CL. Keep in mind just before you get executed for your one, five or twently lot a player could sweep 400 offered and still not complete his 500 lot order. It happens and it even happens on occasion during RTH. Again, it is not common. ES is one of the few markets where you can execute market orders with little to no concern of slippage. The overwhelmingly high percentage of your trades will execute at zero slippage.

I understand, but the question is, since my algo "assumes" that all orders get filled, I don't have any other option than placing market orders.

Anyway, since liquidity is normally very high and I'm a "teeny weeny" trader, I don't see why my market orders wouldn't get filled and cause a "slippage" lager than 1 tic...

 

[Swan Noir]

I'm not suggesting you shouldn't execute that way. I'm only suggesting that what you are calling slippage is not. You are "lifting the offer" on the buy side and "hitting the bid" on the sell side. Both perfectly fine ways to implement a system where you must execute ... in fact the only way.

You can call it anything you like but I can also call a red car blue. It just means others will not have the slightest idea why I do that.

Quote from QuantWizard:

I understand, but the question is, since my algo "assumes" that all orders get filled, I don't have any other option than placing market orders.

Anyway, since liquidity is normally very high and I'm a "teeny weeny" trader, I don't see why my market orders wouldn't get filled and cause a "slippage" lager than 1 tic...

 

[EliteTraderNYC]

Thanks for the responses.

 

[calhawk01]

Hi, was going to make a thread but I think your topic is similar to my question.

What about when the market makes "sharp moves" what kind of slippage can a ES trader expect?

Pretty much every educational video/book I've read about trading the ES emphasize on the fact that this instrument trades in .25 ticks are one point has 4 ticks in it. Therefore, there is a huge emphases on ticks. My question is that, what are the mechanics that go behind this vehicle that ensure that there is no slippage and that each tick is .25 ( since it seems there is a HUGE emphasize on ticks!) In other words, what mechanics keep a buyer/seller from rapidly moving their bid/ask to create large slippage. Do the market markers step in and provide liquidity at each tick??

 

[Swan Noir]

During RTH it is one of the world's most liquid markets. There are scores of participants bidding and offering hundreds or thousands of contracts within a few ticks of current market.

The equation is simple. There are both buyers and sellers from 9:30 am to 4:15 pm. News can change that equation.

Quote from calhawk01:

Hi, was going to make a thread but I think your topic is similar to my question.

What about when the market makes "sharp moves" what kind of slippage can a ES trader expect?

Pretty much every educational video/book I've read about trading the ES emphasize on the fact that this instrument trades in .25 ticks are one point has 4 ticks in it. Therefore, there is a huge emphases on ticks. My question is that, what are the mechanics that go behind this vehicle that ensure that there is no slippage and that each tick is .25 ( since it seems there is a HUGE emphasize on ticks!) In other words, what mechanics keep a buyer/seller from rapidly moving their bid/ask to create large slippage. Do the market markers step in and provide liquidity at each tick??