Some people said there is virtually no slippage at all. But when I use market order, there is always one tick slippage. If I use limit order, I have to wait the price to be touched at least 3 seconds. How liquid is the ES market after all? Is that possible to scalp mutiple, say 20 lots?
1. If you presume you're getting filled long at the offer and selling at the bid, then there is no slippage. (Of course, the market could have moved a couple of tics away while you're hitting the key.) 2. As for "waiting 3 seconds", there may be 500+ contracts at your limit price. Those in front of you will get filled first.