I just started trading ZN today (Ten Year Note). I have been a currency trader for years. The technique is scalping and moderately high frequency (a trade every 3-5 minutes), therefore I cannot place a limit order. As a test, my system placed 6 trades today, and the P&L of each trade was exactly $15.625 (1 point) less than the signal price. This is obviously spread, not slippage, as the trades were taken well after today's employment report, and ZN is one of the world's most liquid markets. 5 of the 6 trades were profitable, but with $15.625 taken off of each trade (in addition to commission and regulatory and exchange fees, of course). My broker is Interactive Brokers, and I think very highly of them. Is this just the way it is in ZN? 1 point taken off of each trade as spread? Thanks.
I think I came up with a solution: Trade every trade with a limit order. If it doesn’t get filled, put a stop loss at the entrance price as a market order; that should obviate the high frequence issue.
That's my issue with the treasury futures as well, the bid/ask creates a hurdle for faster strategies. Can you clarify? what do you mean by "put a stop loss at the entrance price as a market order". If you didn't get filled and have no position, how can there be a stop loss?
It's only appropriate for fully automated trading where your system can keep immediate track of whether the limit order at the exit was filled.