I have an account set up with IB and intend to daytrade the ER2. Can anyone tell me what they have experienced with IB in terms of time to execute a trade (at the market for instance)? (My prior trading has been done through a broker in a longer timeframe up till now and I'd like to get a feel for how quickly trades execute when I click the transmit button.) Slippage is always a concern. Thanks in advance for comments.
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Time to execute
- Thread starter hawthtrader
- Start date
i trade ES not er2 but in my experience fills are instant with futures unless your talking about more than 200 contracts. then it might not be as quick. i havnt traded anything near that quantity yet so i cant comment on trying to move that size but i think i remember reading from another poster that they could move up to approxamatelly 200 es contracts very quickly (near instant). someone with more experience might want to verify that though.
I am not currently trading futures so my info may be wrong.
I have done research on slippage for the very same reason you are. I have asked dozens of people they pretty much all say the same thing.
I was once in a trading room and some fellow used a market order to exit his ES, it was around lunch time, and he claimed to have had 2 ticks slippage. Now I think that this was a rare occasion, because most everyone else I have talked to said with a market thatâs not moving to drastically fast 1 tick is to be expected, and some times 0 slippage. So it appears that 2 ticks can happen but itâs rare.
Now the ER is not as deep as the ES, if trading under 5 lots I would expect about the same⦠over 10 lots I would be willing to bet 1 to 3 ticks slippage using market orders, depending on conditions. Now this is just my assumption, I could be totally wrong!
I have done research on slippage for the very same reason you are. I have asked dozens of people they pretty much all say the same thing.
I was once in a trading room and some fellow used a market order to exit his ES, it was around lunch time, and he claimed to have had 2 ticks slippage. Now I think that this was a rare occasion, because most everyone else I have talked to said with a market thatâs not moving to drastically fast 1 tick is to be expected, and some times 0 slippage. So it appears that 2 ticks can happen but itâs rare.
Now the ER is not as deep as the ES, if trading under 5 lots I would expect about the same⦠over 10 lots I would be willing to bet 1 to 3 ticks slippage using market orders, depending on conditions. Now this is just my assumption, I could be totally wrong!
Having traded up to 100-lot ES and 40-lot ER in the recent past, you can expect nil to two-tick slippage on the ES and one - four ticks slippage on the ER with that size.
It all depends on volume = open interest available. Yesterday, some of the whipsaws in ER were skipping across two - four ticks with very little volume filled. Every one of my ER trades (small size) slipped at least one tick... with a couple of trades slipping <i>in my favor</i>. That happens when I'm exiting with 5 contracts and 50 are lined up to go the other way... market pushes back in my favor because volume at that moment in time is so thin.
Bottom line? ER liquidity improves every day. It's the most popular retail trader's symbol, stealing volume from YM consistently. If trading more than five contracts ER, you might want to stage entries across two - three ticks' span to prevent partial fills.
I've suffered partial ER fills on a number of winners, but ALL of my losing trades always get full fills. Go figure!
Hope this helps
Austin
It all depends on volume = open interest available. Yesterday, some of the whipsaws in ER were skipping across two - four ticks with very little volume filled. Every one of my ER trades (small size) slipped at least one tick... with a couple of trades slipping <i>in my favor</i>. That happens when I'm exiting with 5 contracts and 50 are lined up to go the other way... market pushes back in my favor because volume at that moment in time is so thin.
Bottom line? ER liquidity improves every day. It's the most popular retail trader's symbol, stealing volume from YM consistently. If trading more than five contracts ER, you might want to stage entries across two - three ticks' span to prevent partial fills.
I've suffered partial ER fills on a number of winners, but ALL of my losing trades always get full fills. Go figure!
Hope this helps
Austin
Quote from trading_time:
I am not currently trading futures so my info may be wrong.
I have done research on slippage for the very same reason you are. I have asked dozens of people they pretty much all say the same thing.
I was once in a trading room and some fellow used a market order to exit his ES, it was around lunch time, and he claimed to have had 2 ticks slippage. Now I think that this was a rare occasion, because most everyone else I have talked to said with a market thatâs not moving to drastically fast 1 tick is to be expected, and some times 0 slippage. So it appears that 2 ticks can happen but itâs rare.
Now the ER is not as deep as the ES, if trading under 5 lots I would expect about the same⦠over 10 lots I would be willing to bet 1 to 3 ticks slippage using market orders, depending on conditions. Now this is just my assumption, I could be totally wrong!
they might be trading large lots. small lots of ES are instant fills and in hundreds of trades i would have to say my slippage is rarely .25. most every fill is exact. the spread on ES is only .50