Futures slippage

Discussion in 'Order Execution' started by Marketmonkey, Nov 1, 2016.

  1. Being fairly new to futures I am noticing huge slippage as compared to trading equities when using stop losses. After looking at the tape it seems odd to me the amount of orders and size of spread from stop loss to market order execution. Here is an example of my last trade.
    Short PL
    Stop loss 984.6
    Executed at 985.2
    Dom volume looks like this
    985.50 1 (my order filled)
    985.40 1
    985.30 3
    985.20 4
    985.10 13
    985.00 27
    984.90 21
    984.80 12
    984.70 17
    984.60 19 (my stop order)

    The total of orders on market depth right before hitting my stop was 24 over this spread.
    If my market order executes at 984.60 and in 1.5 seconds all those other orders plus some executed ahead and mine executed at 1.6 something seems wrong to me.
    This is the average slippage I get across all futures I trade. Am I being a newbie or is this an issue. Its costing me huge.

    Any feedback would be appreciated as I cannot always use mental stops.
     
  2. I think you traded Platinum futures, which do not have much of liquidity. I do not think you will get much of slippage if you trade E-mini S&P500 futures or any major currencies
     
  3. When trading emini S&P500 I average .75 slippage which is much better but still seems high to me. JY treats me best. PL is indeed thin but my strategy I developed for ES works much better with PL so until that changes I have to milk it but my slippage is pretty rough across the board.
    Thanks for your feedback.
     
  4. Impossible who is your broker?
     
  5. Tradestation
     
  6. I have retired and moved the Philippines, I trade the Asian and Europe sessions. I assume that has some impact?
     
  7. As you're in the Philippines, you could trade the Nikkei Mini without the problems you're having.
     
  8. i960

    i960

    3 ticks slippage in ES is way too high. Use a stop limit with a 4-8 tick payup so that your stop is sitting on the exchange. Stop market orders are not native orders on CME. That being said though I'd still expect your stop market orders to be sitting on tradestation's servers and at most 1 tick in ES. Where you're located should be irrelevant as long as the stops aren't locally held on your computer.
     
  9. Too all, I was multitasking one to many things and you are all right, I mistyped, not .75, ES is .25. I apologize. So the slippage from trading PL is volume, to thin? It still seemed excessive to me.
     
  10. It's a pretty thin market but that's a lot of slippage. If your stop is hit overnight that may come into play as the market is very thin overnight.

    plthin.PNG
     
    #10     Nov 1, 2016