ES Market Order Size

Discussion in 'Order Execution' started by EliteTraderNYC, Jun 25, 2013.

  1. Hey guys, has anyone ever experienced slippage on an ES market order? I wonder what size u'd have to put in to get any slippage, probably more than 100's of contracts?
  2. gmst


    interesting question. let us see if someone in the knowhow cares to reply!!
  3. Flash was caused by an order of 75,000 contract. Drop of 9% I bet a few 100s wouldnt make a difference.
  4. It's currently 03:16 am EST, and the GLOBEX book for ES 09-13 shows an inside market of

    approx 100 bid at 1598
    approx 100 offered at 1598.25

    So, if an order of less than approx 100 were to hit either level with the book in this state --> no slippage.
    If an order of more than approx 100 --> slippage (i.e. at least some of the order would execute at the next level)
  5. seadog


    Every Es market order I have used, and there are lots of them, has 1/4 point slippage.More so in a fast market.
  6. Haha thats awesome. Its good that theres a 100 lot bid/ask at 316am ive never traded at that hour before.
  7. It's 10:54 am EST, and for ES 09-13 now I'm seeing

    100 <-> 1000 bid
    100 <-> 1000 offered

    So, expect slippage with market orders for amounts bigger than approx 100 <-> 1000, depending on the inside market at the time ...
    ... for smaller size than that, expect no slippage.