Globex Stops

Discussion in 'Index Futures' started by Pabst, Aug 12, 2006.

  1. Pabst

    Pabst

    More and more I'm using stops in ES. Has anyone had experience with slippage?
     
  2. What type of stops? Limit orders or market orders?

    I ask because CME/Globex does not support the typical market order. They only support "market with protection". Market with protection is a limit order with a price of 50% of the no bust range. The "No Bust Range" in ES is 6 points so a "market with protection order" would be a limit order 3 points off the market. This is not an issue in ES however because the market is so deep.

    Everyone who trades CME products should read the attachments below!! It is in your best interest to study the NO BUST RANGE of any product you trade. Also if you use market orders understand the CME is really accepting that order as a limit order with a price of 50% of the No Bust Range.






    http://www.cme.com/trading/get/abt/enterorder987.html

    http://rulebook.cme.com/rulebook10884.html

    In the rulebook look for 588.K. GLOBEX No Bust Range
     
  3. Talking about stops. How come the ECBOT doesnt accept stop limits?

    Stop limits are so important for gold and ags. I dont really like my stop keep finding a bid when there is no bid in the book
     
  4. Depends on a couple things:
    1) How many contracts are you trading?
    2) Is this during 'normal' trading times or during news, reports, etc?

    I've had very minimal slippage on the ES trading 30-50 at a time.
     
  5. hans37

    hans37

    That's good to know. Currently I exit with a stop limit .
    At how many contracts should I change to a "stop market" ?
     
  6. Pabst

    Pabst

    I use TT and set the "stop limit" to 5 ticks, i.e. 1.25 ES points.
     
  7. Pabst

    Pabst

    I'd like to hear your take during volatile and nonvolatile times. My max size is 20. I know ES is ultra liquid but how often when a program rips the book for a half point do you get only a partial or get filled down a tick? What do you set your limit at?
     
  8. RedDuke

    RedDuke

    I am very much interesting in this info as well. I currently trade very small size, but plan to increase it over time, so this info is very much appreciated.

    redduke
     
  9. Pabst - If I see any slippage on the ES it's usually one tick. I have my limits on entries set at 1 tick from my entry, so basically 2 ticks. Example: If I want to enter at 1200, I am willing to enter up 1200.25.

    I should also point out that all of my entries are Buy Stop Limits or Sell Stop Limits.
     
  10. Pabst

    Pabst

    You're the definitive word! Thanks!
     
    #10     Aug 13, 2006