expected slippage

Discussion in 'Index Futures' started by Alegnus, Mar 20, 2007.

  1. Alegnus


    I'm backtesting a strategy for er2, es, nq, and ym on Tradestation. How much slippage, on average, should I expect if using stop market orders for say 1-4, 5-9, or 10-20 contracts?
    Thanks in advance.
  2. I normally use one tick on each side (the buy and sell order). And then inflate the commissions a bit. This usually provides a more accurate picture.

    On the YM for example I'd enter in $10 slippage per contract ($5 per tick x 2 ticks)

    CajunSniper / Puretick.com Administrator-Trader