============= As an elitetrader suggested ,could use faster market orders & maybe lose.25; almost always prefer a liimit order. Usually fast enough for me.
Slippage is just part of doing business in trading. 1000 cars can be done for .25 most of the time by banging the ask.
That hedge fund that clears Barclays Capital is none other than Citadel Group (they clear the same house for bonds at CBOT). I think the biggest locals in ES from what I have heard are the Iceman (Kingstree trader) and the Russian from Gelber. I am talking guys that just straight-up trade as locals or market-makers, often on both sides of the order book and loading it up (especially the Russian, who I heard for a period was trading with himself, especially overnight). They are in no way associated with anything close to rocket-science, whereas Citadel is essentially running a black box probably arbing against the cash.
Its just as easy for you to tell if the market is trending as a "MM". If you don't want to get hit by a truck, then get out of the road.
Locals, guys trading their own account, essentially as scalpers/market makers/crazy all-together. These are the guys that have at least 500 or so at every price level, constantly in and out of the market, bidding/offering, jamming other traders, flipping, stop running, and of course just plain cancelling. They don't trade with charts at all, just purely off of perceived order flow, since they are most of the size in the book, they know at which levels paper is working or can feel when they start to come in. Exact same thing in the 10yr note on eCBOT.
And the same thing in indicies and EuroDollars, of course. The whole Globex / eCBOT messaging policy is targeted at automated trading systems generating too much noise. But if an automated trading system accounts for a large enough percentage of the overall daily volume, then the exchange are embracing it, since the ATSes generate large amounts of exchange fees.