E-mini slippage

Discussion in 'Order Execution' started by Alexandre, Apr 12, 2006.

what's the maximum ES size you feel comfortable trading without experiencing slippage

  1. between 50 to 100 contracts

    12 vote(s)
  2. between 100 to 200

    8 vote(s)
  3. between 200 to 300

    1 vote(s)
  4. between 300 to 400

    0 vote(s)
  5. between 400 to 500

    1 vote(s)
  6. between 500 to 600

    1 vote(s)
  7. between 600 to 700

    2 vote(s)
  8. between 700 to 800

    0 vote(s)
  9. between 800 to 900

    0 vote(s)
  10. above 900

    13 vote(s)
  1. how many contracts before you start experiencing slippage during liquid trading hours (defined as 9.30 to 11.30 and 14.00 to the close)?
  2. afedoro


    There's no single answer to this. Just watch the bid/ask size in real time for a few hours and you'll get a decent idea.

    Sometimes the bid/ask size is 2000+ contracts and sometimes it can be in the 100-200 range for a whole minute...

  3. maybe we could try to define slippage as follow:

    assuming the market trades at X and is at equilibrium, i.e. equidistant to the offer and the bid

    and there is roughly the same number of contracts Y sitting on the bid and on the offer,

    and you are next to trade and

    you lift the offer or hit the bid for Y contracts,

    what would be the new equilibrium price replacing X and what contracts would now sit on the offer and on the bid,

    or, another way to put it,

    how many contracts do you need to trade before you move the market?


    what is the maximum number of contracts you can trade before you move X?
  4. yes, you are right. I trade using X-trader 100 contracts at a time and find the markets sometimes quite illiquid. I also feel like my limit orders are the last to get filled even if I placed a while ago (I believe I know why..).

    I wonder what size the biggest players trade on an intra-day basis.

    I also wonder how market makers (whether that function exists or you only have arbitragist) typically work on the ES.
  5. romik


    Do your orders have to be limit orders?
  6. no.

    But I find them a useful measure of liquidity under certain market conditions.
  7. romik


    use market orders then
  8. so far, wide distribution of answers!
  9. Why do you think that is? Frontrunning by your broker?

    The ES seems pretty liquid most of the time. I would guess you'd have to trade 200+ contracts before slippage is an issue.
  10. Where do you place your limit with respect to the BID or ASK?

    What do you believe to be the cause?
    #10     Apr 12, 2006