Slippage on an ES stoporder

R

Raver

Hi all,

At the moment I am doing research with tickdata and the strategy involves using stoporders on the ES. I was wondering what everyone's experience is with the slippage on the ES using stoporders. I know it depends on the volatility at the moment but how many ticks after the initial stop has been reached will the order be executed on average. Or put differently what kind of slippage can I expect on stoporders on the ES(assuming small size)

For example, my trigger is 1246, will it be executed on the next tick(1246.25) or the second tick((1246.00) or will it take longer?

10:32:23 1245.75
10:32:23 1245.75
10:32:23 1246
10:32:23 1246.25
10:32:23 1246
10:32:24 1246.25
10:32:24 1246.5

Thanks for your input

Regards

Raver
 
I use a lot of stop limit orders, with the limit the same as my stop price....I am filled instantaneosly over 90% of the time I am triggered....if I am not filled, I use my discretion....this is for regular market hours
 
If it's a proper Globex stop or stop-limit I have never had more than 1 tick slippage - but almost always 0.

With a simulated stop it all depends on speed of your connection and how fast the mkt is moving. In my, limited, experience, usually 0 or 1 tick but occasionally considerably more.

1c
 
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