To repeat what has been posted on this board, slippage can't happen in electronic markets. Sorry, but it's just not possible.
YM trading: how common is this?
- Thread starter wally_
- Start date
Spreadm
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Exactly, there are many times in ES where slippage is 2 ticks, which is $25
End quote
Perhaps you are thinking of selling on the offer and buying on the bid scenario. This does not exist in the electonic e-mini. You simply just wait for the bid ar offer to trade at that price for the fill.
With stocks we used to be able to go down the middle of those spreads and get fills from those greedy MM's. But this scenario does not exist withi the electronic SP e-minis.
Michael B.
Quote
Exactly, there are many times in ES where slippage is 2 ticks, which is $25
End quote
Perhaps you are thinking of selling on the offer and buying on the bid scenario. This does not exist in the electonic e-mini. You simply just wait for the bid ar offer to trade at that price for the fill.
With stocks we used to be able to go down the middle of those spreads and get fills from those greedy MM's. But this scenario does not exist withi the electronic SP e-minis.
Michael B.
I knew that.
Now, I was asking for more specific data regarding the slippage on stop orders that I use more often than other orders. OK, I have made enough trades by now to have some idea what the slippage in this case might be. The most common is 1-3 YM pts, but at times you can get even 5 pts. Using limit orders seems to be a better idea then and that's what I am doing now.
Thanks for all the feedback.
This term slippage........To many.... means something different.
In a backtest this is an allowance used for "actual" entries/exits verses system entries/exits. Commission are sometimes included in this calcualtion too.
To others.....it seems to be discussing what the print is verses the fill. Well there can be many reasons for the difference. platform lag......internet lag.....datafeed source......reporting back issues......
It comes down to this.....if its electronically traded....if the price prints...and you enter the market order you get it. If the price changes or you are seeing a lagged price...this is not slippage.
Now, if the YM is different please educate me.
Michael B.
In a backtest this is an allowance used for "actual" entries/exits verses system entries/exits. Commission are sometimes included in this calcualtion too.
To others.....it seems to be discussing what the print is verses the fill. Well there can be many reasons for the difference. platform lag......internet lag.....datafeed source......reporting back issues......
It comes down to this.....if its electronically traded....if the price prints...and you enter the market order you get it. If the price changes or you are seeing a lagged price...this is not slippage.
Now, if the YM is different please educate me.
Michael B.
For me the slippage for stop orders is the difference between my intended entry/exit and the fill. It is not so uncommon to get a zero slippage defined this way for stop orders in ES. In fact, most of the time you get a zero slippage in ES for stop orders, at least from my experience. But YM is different, the non-zero slippage is much more present and you need to take it into account.
That's what I meant.
Thanks for clearing this up.
Recently, some clearing firms...(Refco the largest) has eliminated stop orders. We now must use stop limit orders. I usually sread the 2 prices with one tick and do not see a difference with the ES.
Is the YM trading in the pit...or is this true slippage arising from the exchange traded electronic platform? The YM is CBOT right?
Michael B.
Recently, some clearing firms...(Refco the largest) has eliminated stop orders. We now must use stop limit orders. I usually sread the 2 prices with one tick and do not see a difference with the ES.
Is the YM trading in the pit...or is this true slippage arising from the exchange traded electronic platform? The YM is CBOT right?
Michael B.
As far as I know, YM does not trade in the pit, but I can be wrong. Yes, it is CBOT.
The slippage is due to the low liquidity, lower than in ES, so you cannot always get prices you want when the exchange computers match your order with the prices. In ES this is much more likely, greater volumes, and so a better liquidity.
Thanks again,
I think I get it now. When the price hits there is not that many contracts on the other side. So the fill does not match. So if its a market order it goes to the next tick or 2 or 3 or 4 or 5 depending of how many contracts are being offered or bid.
Using a limit order would just mean that no fill would be made. This low liquidity of the YM is a true concern and I think I have a better understanding of it.
Thank you for this thread.
Michael B.
I think I get it now. When the price hits there is not that many contracts on the other side. So the fill does not match. So if its a market order it goes to the next tick or 2 or 3 or 4 or 5 depending of how many contracts are being offered or bid.
Using a limit order would just mean that no fill would be made. This low liquidity of the YM is a true concern and I think I have a better understanding of it.
Thank you for this thread.
Michael B.
Well you did well on first day bucking $180. About stop limit orders you can have some times 10 points until your order is filled. Remember no one wants to give you his money so people would cancel their bids. Selling in fast down moving market won't guarantee good execution. Try to buy when the index isn't moving fast.
Another way is to hedge. I would short 1 SP500 contract against the 1 YM that I'm long if I cannot sell the YM at a good price. When the market movement gets less volatile, then I decide to liquidate both or one.
Another way is to hedge. I would short 1 SP500 contract against the 1 YM that I'm long if I cannot sell the YM at a good price. When the market movement gets less volatile, then I decide to liquidate both or one.