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Dan37a
Registered: Dec 2007
Posts: 15 |
06-17-12 02:27 AM
I plan to start trading crude oil futures, but my technique is fairly high frequency (about a trade every 2 minutes). Is it a given I will always pay 1 point on the bid ask spread, or can I expect to be filled better than that, at least sometimes?
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dom993
Registered: Jul 2008
Posts: 544 |
06-17-12 04:04 AM
You are confused ... 1 point in CL is 100-ticks, I have to suppose you meant 1-tick.
Then the question is ... what type of order are you using?
For STP orders (which I believe are managed at your broker server), actual slippage will vary ... I find 1-tick slippage on average to be a pretty reasonable assumption.
I have no experience using STPLMT orders (which do reside on the CME servers).
For MKT orders, slippage can be anything, depending on how long it takes for your order to reach the CME server & get processed.
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Realistic
Registered: May 2012
Posts: 89 |
06-17-12 08:30 AM
Quote from dom993:
You are confused ... 1 point in CL is 100-ticks, I have to suppose you meant 1-tick.
Then the question is ... what type of order are you using?
For STP orders (which I believe are managed at your broker server), actual slippage will vary ... I find 1-tick slippage on average to be a pretty reasonable assumption.
I have no experience using STPLMT orders (which do reside on the CME servers).
For MKT orders, slippage can be anything, depending on how long it takes for your order to reach the CME server & get processed.
+1
1 tick is conservative, you would be lucky to only get a 1 tick spread consistently in CL...
Market orders, it can slip harshly...
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ocean5
Registered: Feb 2012
Posts: 934 |
06-17-12 08:34 AM
Quote from Dan37a:
I plan to start trading crude oil futures, but my technique is fairly high frequency (about a trade every 2 minutes). Is it a given I will always pay 1 point on the bid ask spread, or can I expect to be filled better than that, at least sometimes?
When i use MKT order,i usually get 2-3 ticks minimum slippage,as with the CL futures spread is often 2-3 or sometimes 4 ticks.It usually goes well for me when i use LMT orders.When you get the signal,use LMT 2 tciks lower/higher your entry.Just a friendly advice.
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NetTecture
Registered: Mar 2009
Posts: 1010 |
06-17-12 09:15 AM
Quote from ocean5:
When i use MKT order,i usually get 2-3 ticks minimum slippage,as with the CL futures spread is often 2-3 or sometimes 4 ticks.It usually goes well for me when i use LMT orders.When you get the signal,use LMT 2 tciks lower/higher your entry.Just a friendly advice.
And sometimes it is worse. 1 car, 18 tick slippage on a stop order CAN happen.
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ocean5
Registered: Feb 2012
Posts: 934 |
06-17-12 09:21 AM
Quote from NetTecture:
And sometimes it is worse. 1 car, 18 tick slippage on a stop order CAN happen.
That is why i try to exit quick,when i`m filled.STP orders are awfull
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