ES Gaps, Slippage & Leverage

Yes margin was raised by many brokers before brexit and the election.

 

You don't happen to know by how much margin was raised by IB, TradeStation, TOS?

 

I don't , but my guess either someone else here does know Or they know how you can find out.

 

https://capitaldiscussions.com/interactive-brokers-increases-margin-due-to-brexit

 

Yes, this I'll be able to get to the bottom of. The historical ES slippage data was a much tougher nut to crack, thanks again!

 

No problem, good luck.

 

I remember this day well, it was crazy. Ben was brilliant quoting this, gives you a good sense of the panic as it was unfolding.

H.

 

How did you fare? I wasn't trading back then.

 

I'd love to hear more too. Do you agree with the assessment that you should be able to get filled within 10 handles of a stop?

 

What/when are the largest historical gaps and slippage in the ES?

If you follow Eric Hunsador on Twitter he has daily updates on unusual slippage in the markets micro structure and you can look up his on-line charts of historical events that caused high slippage/gaps. https://twitter.com/nanexllc

You asked how much was margin raised during Brexit - On TradeStation they followed the CME & Eurex increase which was: All CME currencies and all EUREX products 200% of initial margin respectively as well as VIX futuresat 300% of initial margin.

Here is the flash crash


http://www.nanex.net/FlashCrashFinal/FlashCrashSummary.html

Trump - Upset - After Hours