CL slippage

Discussion in 'Energy Futures' started by R1234, Feb 20, 2010.

  1. R1234


    Lately I've been dabbling in intraday strategies and came up with something that looks somewhat decent for CL on 1 minute bars.

    It has on average 3 trades per day. Holding period is 1 to 2 hours on average, and all positions are exited at the end of the day session.

    My questions are:

    1. What is a realistic assumption for slippage (ticks) on your stop loss? And do you guys physically place a stop loss or do you manually work the order to exit once the level is breached? I would think placing actual stop loss orders is an invitation to get screwed in CL (?)

    2. All of my entries are limits (buying weakness, selling strength). How easy is it to get filled on limits in CL. i.e. if it bids at or above your limit price to sell, are you likey to get filled or is it a market where it needs to trade several ticks past your limit and has to stay there for some time before it gets filled?

    If you could share any trading experiences that would be appreciated.

  2. Hey. If it ticks past your limit then you get filled. That's how it works. If your order is working at the exchange you will get filled. Not sure what broker you are using!

    Depends on your strategy and obviously i don't know it, but personally given the volatility in oil traded off a 1 min chart is suicide. IMHO.
  3. R1234


    Thanks for your input. The reason I ask about the limits is I currently trade ZB on TradeStation and IB with both screens up at the same time. It's strange in that if I enter the same limit order in both broker screens, the TradeStation always gets filled sooner than IB.

    I am curious, why would it be suicide to trade off 1 minute bars?
  4. Cheese


    This is correct.
  5. only because I believe any pattern you are seeing is merely coincidental. There is so much volatility. A major could come in and buy 100 lots to hedge something on the physical side and move the price 10 cents trying to get it done. That might appear to mean something on a 1 min chart but really in the grand scheme of things it means nothing. There was no directional intent there.

    Stops at the exchange have guarantee to be executed inside 50 points of your stop. I have had slippage if 43 points once on a major spike, but still better than trying to get out manually.

    Operating a strategy on a 1 min chart setup unless some kind of high frequency model, is doomed, because what you think means something is really just noise.
  6. And I disagree 100%.

    You can drill down your timeframe if you can filter your entries.

    By doing so, you can get incredible risk/reward setups as well.

    I routinely take trades with 10-15 pt stops and go for 30 pts.

    As w/ all things in trading, beauty is in the eye of the beholder. Just b/c someone here says they couldn't trade off a 1 minute chart doesn't mean it cannot be done. I do it everyday and post my blotter at traderslab.

    The other side of the coin of trading on a larger timeframe is that your logical stop placement would result in stops that are much too large IMO. I have no interest in risking 30+ on a trade. And for me, how I see it, the larger timeframes require just this.

    But this is all opinions, so do your own due diligence and you will agree with one of us here.

    Good luck.
  7. That's a fair point, and taken. It is definitely in the eye of the beholder, and I guess that's what makes a market! I'm just not comfortable with the idea of trading off a minute chart, but that doesn't mean it can't work for someone. I just prefer higher timeframes as I believe the higher up the timeframes you go, the more genuine the data becomes if that makes sense. Just my opinion! Happy trading everyone.
  8. Papa you are one snide sum-bitch aren't you
  9. Thanks for such kind words mr bear! Back on topic, what's your view on the original poster's question?
  10. Cheese


    I can only comment from a professional trading stance. Assume daytrading and taking as much as you can from the points that the CL market offers, open to close. I don't use stops because my system has buy and sell triggers to follow. And of course a one minute chart is too slow. You can still use it instead as a summary of CL price movement but not for your exact entry/exit trading points.

    I use limit orders only and for you getting filled on small orders should usually not be a problem. What you are doing is welcoming CL volatility and you want to exploit those movements. You need a fairly fast chart. Test chart configurations of smaller time, volume or range bars. This will show you what is going on to a finer degree. Check whatever system you are using in those modes.
    #10     Feb 24, 2010