E-mini liquidity for scalpers

yes, my comments are directed to the ES.

 

Hello:
I am using limit orders for both entry and exits for size 10 cts to 50 cts. Depending on how sharp my entry is I will periodically see slippage of .5pt on the entry. Quite often none on exit as I am always scaling out into demand. For size 50 and below I usually see slippage of .25pt. For size above 50 to 200cts, I scale into positions and do not see more than .5pts. During summer months and whenever I anticipate low volume sessions, I reduce size by half. Hope this helps. Steve46

 

very broad question but . . . you should be able to throw around 10 lots with approx the same fill ratio as 50 lots

bigger factor is that the major 'electronic locals' have a mentality to take 'all or nothing' (sweep w/max Qty) at the respective Bid/Ask

also . . . it sounds like some of the members on this thread are experiencing latencies that lead to slippage --- absolutely unacceptable

 

Steve - How could you have slippage on limit orders? That doesn't make any sense.

 

I am using Ninjatrader. An "offset" is programmed into the order process. (Sorry, I am a little sleep deprived tonight).

 

Can you clarify what you find unacceptable please ? Is this the fault of the exchange, or down to a connection issue.?

Thanks

E

 

Even so, why would this lead to slippage on a limit? Sorry to bea bit dim.

E

 

Still don't understand - I mean, if you are actually using limit orders - there can be no slippage at all. If you submit a BUY LIMIT 1005, you are not going to get a fill at anything greater than 1005 period. No matter what you are "using" to generate the order.

 

Ninja Trader has a "chase" feature.