I still don't understand - doesn't matter what you are using to generate the orders, a limit order is a limit order is a limit order. Limit means limit and you wont ever have slippage on a limit order.
there is no such thing as "slippage" on a limit order. a limit order is your price or better or you are not filled at all. the only way you would be slipped on a limit order would be if you were placing a stop-limit order and your stop price was different than your limit price.
Slippage on entry with a limit order occurs if you try to enter at say 108025 limit, but miss your fill, then the market starts ticking up, and you have to pay up to get filled (i.e. increase your limit order to 8050 or 8075). Hope this clarifies things.
To go back to the origional question. I have watched the e mini spoos this afternoon, and have concluded the following : If you try and trade this by entering a position by joing the bid/offer I personally think you are going to get royally stuffed. I offer this only as an opinion - Iam not directing this. The reason is the volatility and volume are such that the spread as it is, a tick, with the volume as is, at least a few hundred up, frequently a lot more, means that the market moves through the price much more than it gives a scalp edge. I am looking to scalp this, but I can see that I can only enter as agressor. My exits will more than likely be passive. In terms of how much you can get off, at least a couple of hundred at the number, which is great. It reminds of how the bund used to be 4 or 5 years ago, only a bit more volatile. If mr 2000 lots comes in a tries to mess with this market, he won't last long, which is great because it means the market is so broad no one guy can really ram it up your backside. which is the main reason I gave up the bund. For a scalper cross position trader who is used to trading over a hundred times a day with a bit of size, it looks like the ideal market. Any of you guys doing this at the moment - how do you find it?
The net effect is that you enter at a worse price. If you want to call that something other than slippage, fair enough, but it has just the same effect on your P&L.