hippietrade..........i trade the SPY (500 -2000 shares) AND i can say without doubt the money i save not paying a that outrageous slippage makes me say that basically the emini was created to slowly churn a small "to death" much like the blackjack or crap tables in vegas do with their small % advantage....SLIPPAGE is the dirty little secret that destroys almost ALL successful backtest strategies... I expect baron to delete this post since it is not good business for the advertising sponsors to let this secret spread.
I would prefer to trade the SPY if I have a 25k account. Due the 25k Reg T daytrading requirement, smaller accounts are forced to take bigger risk - either holding a position overnight or by trading more risky instruments! I am going to look into the NQ as the tick is only $5, not $12.5 like the ES. As a scalper, I can't afford to give up $12.5 plus commission just to enter a trade.
HIPPIETRADER... I DO NOT TRADE the nq but i would encourage you to do so because if you are a scalper , the decreased slippage will surely add up into a tidy sum over time
An old professional ES trader who is now retired once told me that if I get a fill at my entry limit, the price will surely move against me and a stop won't be far behind. Sadly, he was correct. YM and NQ are a mirage if you think there is no slippage, because there most certainly is. The difference is you are made to feel the $5/tick is less painful than $12,50, but it's an illusion. Want to put some hair on your chest? Trade the DAX futures. Once I started, I dropped the US equity indexes and never looked back.
Every shred of newbie material I've ever seen on trading mentions commissions and slippage as part of normal trading costs. Think of it as the airfare that gets you to Vegas.
What good is it to get filled from the order queue at your price with the perception of zero slippage if the market has already gone through your price? If your don't get an improved fill you've got slippage. You just don't see it. CME limit orders convert to market orders when the price goes through anyways.
Can some one explain to me what slippage is? A limit order is a limit order is it? You get filled at your price where is the slippage? Or you buy limit and sell market?
What the OP is getting at is more often then not if you set a buy limit price and it gets hit the price will likely be one tick below your limit buy, putting you at an instant loss.