Hi guys, a friend of mine is developing a strategy that buys ES at the open (US stock market open) and asked me what is a realistic slippage to account for in the system. I don't have tick data and enough observations so I can't give him a reliable estimate. What is the spread that you usually see in the first minute of trading (09:30-09:31 a.m. EST)? Does it get wider than two ticks? He will probably be trading a single contract at first.
It's 1 tick for ES at 9:30 for all full (and probably half) days. Slippage is one thing you don't have to worry about with ES.
As long as the S&P isnt trading ~40 handles or more lower, the bid-ask spread will tend to be 1 tick. The volatility of those opening minutes can be elevated.