ES slippage automated strategies

Discussion in 'Automated Trading' started by propslave, Apr 1, 2009.

  1. Just curious how much slippage you guys experience trading intraday ES futures... have read a number of times that 1 tick per side is pretty standard... I've calculated my system out at 4 ticks per side which makes it about breakeven... with only 1 or 2 ticks per side I could be quite profitable. Interested to hear what others experience is.
  2. Unless you are doing large size in ES you can buy on the offer and sell on the bid with zero slippage the majority of the time during RTH.

    Using 1 tick of slippage during RTH is a good assumption for backtesting an ES trading system.
  3. Excellent, appreciate your reply.