Estimated slippage for NQ, and CL

Discussion in 'Commodity Futures' started by ChrisMMM, Mar 28, 2007.

  1. I wrote a strategy for the index futures. I tried them out on the energy futures and WOW I can't believe the movement on these things.

    Anyway what is an estimated slippage? in terms of per tick
     
  2. 3 or 4 ticks for the full size oil contract (CL)
     
  3. what about the e mini one. One 3 to 4 ticks? Is that per side? so like 3 to 4 ticks round about. The index futures are only 1 tick per side. Geez
     
  4. kashirin

    kashirin

    I was unlucky to be short when that stupid rumor with Iran happened.
    I had 3 contracts short and one of them was closed 60 cents from stop price
     
  5. it all depends on how much u buy/sell in one go.
    nq is very thick, u can get away with substantial size...what's on the bid/offer is what u can lift/hit and usually there's always some reserve hidden size avaliable. slippage on nq is the last thing u should worry about if u dont move more than 50 contracts at a time and even then doubt u get more than 1tick slippage since min. typical size is 30 a side.
     
  6. I was speaking on a per side basis. Very often the spread on the CL is just one or two ticks, but for system-testing purposes I think three to four would be more conservative. During volatile moments, it's not unusual to get a stop filled three ticks from your stop price. I always open CL positions with a limit order or a stop-limit order.

    I haven't traded the mini oil since the electronic full-size came out, but when I have looked at it it seems like the spread is usually two ticks. Sometimes it's one tick, but it tends to be a little thin on one side (i.e., just a couple of contracts).

    Please let us know how it goes.


    Regards,