ES large contract fills

Discussion in 'Index Futures' started by chrisdunn, Oct 18, 2008.

  1. Hey all,

    Is anybody trading heavy volume on the ES? If so, what's the biggest lot size you can usually get filled on? I've spoken to some people who say they can get 80-100 contracts filled with no problem.


    Chris Dunn
  2. I don't trade 1000 lots but damn I have seen 1000 and as high as 10,000 lots get filled in a to answer your question...YEAH
  3. JamesJ


    in current market, you get slippage even with only 1 ES contract (had 0.75 slippage once).
    but usually bid ask > 200...
  4. Are you talking about getting filled at once with no slippage?

    Really? Why is that? I haven't noticed slippage in a few contracts yet. I'm new to the ES. Before, I was trading the ER2 which could handle 10-20 lots with no slippage.
  5. JamesJ


    jup, that 0.75 slippage was when a big market order hit the bid.. but as i said usually no slippage or 0.25 max (0.25 happens quite often the past 2 weeks).

    i refer to stop orders.
    the 0.75 happened at an even level, dont remember but maybe 980... when i had a stop at 979.75 obviously there were plenty of stops right there...

    same with day low day high..
  6. if you use the DOM you'll be able to answer your own question about available depth. ES often has 500-1000+ contracts up on the bid or offer. If you pick your moment to place your trade, you wont get any slippage.
  7. In addition to Level II DOM data, a nice indicator is a laddered DOM with volume histograms per tick. You can guage aggregate fills at specific price points.

    Pushing volume orders is relative to order type: Stop/Limit (Still subject to gaps/jumps) or CME's "protective" market orders (approx +/- 3 points max bust range) 8 minute bust rule.

    Readup on CME rule 588 and 622.