Anyone have any idea what size orders i can place at the market on the ES without slippage? Can i get away with 50 contract orders? if so, whats the upper limit? Primarily will be trading between 7am and 4pm. Thanks
You should have no problem with 50 cars except before a significant news release when the spread widens and volume evaporates. During RTH trading several hundred at a time will be seamless. Over 1000 and that's another story. Good luck.
I have found, regardless of the size, there is a 1/4 point collar on market orders. In a regular market.Can go up to 3/4 points in a fast market.
If you don't already know the answer, you have no business even contemplating trading 50 or more cars IMO.
Thanks for the feedback all...pretty much aligns with my expectations. I knew it to be a very liquid market but I was a bit worried about 7-8am. I'm not trading 50 yet but will probably be trading 20. Was just curious where I might run into problems. 20 may sound like a lot, but I'm only making about 30 trades per month and each trade is only +/- 4 points. Need to trade decent size with this particular strategy. Also, personally i've been experiencing a 1/4 point of slippage no matter what, even on 1 contract....so I am more or less expecting that.
Not really slippage, per se...more like there seems to always be a 1/4 point variance on my system in live trading vs. backtest results. Not really sure why, other than maybe i'm just getting the bid price and the system is using last trade price.