How Much Stop Slippage is Typical?

Discussion in 'Commodity Futures' started by bettles, Mar 8, 2008.

  1. bettles


    I keep seeing recommendations like the following (this one from a recent public recommendation on Alaron's web site):

    Buy April crude at 10185 - stop 10085.

    Logically, the risk on the trade is $1000. But in a fast-moving market such as oil, it would seem to me that the price is going to move well through the stop on an adverse move.

    I'm trying to calculate how much recommendations such as these have actually made. I know how much the ones that had a profit target that was hit made. Can someone who trades oil frequently give me an idea how much slippage generally occurs when an adverse move occurs and a stop is hit?
  2. usman88


    these are phil flynn's recommendations. Although I dont know about the guy and not questioning his abilities or command over the market but over the past 2 weeks all he was talking about was shorting crude (back when it at $86 to $100 level) and hi sops were consistently being hit.

    BOTTOM LINE: Look at the graphs and set stops yourself. If you are a good trader even a 50 cent stop is enough. Offcourse by a good trader I mean you can point out reversals etc
  3. bettles


    Agreed, but my question is this. Suppose a "good trader" sets a 50 cent stop. When the stop actually gets hit, how much more than 50 cents, on average, can they expect to lose? I have never traded crude oil (well actually I did, back in 1996, but the market is totally different now). I'm wondering if someone who swing trades crude can give me a ballpark figure for this.
  4. Flynn has good commentary, but awful trading....He's always in, just like a commission broker
  5. When trading the CL contract, at most I get 1 tick slippage on stop market orders over the past few years. Now there are times when news releases come out, and if you are on the wrong side you can expect some slippage but it has never happened to me yet.

    In MAR 2007 there was a rumor on some ship getting fired upon, and there was a big spike like 585 points, and I remember hearing about a guy trading the mini sized, and he got 50 cents of slippage or maybe a buck...but again these are rare events but they do happen. If you are trading outside pit hrs, the slippage could be significant.

    To answer your original question - I rarely get slippage on the stops. If I do however rare - it's 1 tick.
  6. bettles


    Thanks, this is the kind of information I was looking for.
  7. Just FYI, on Ice i've seen a 50 cent range in a one second period (looking at T&S). I think it was after inventories, though.
  8. That's because he works for a brokerage outfit and tries to bring in clients with his says "open your account today" at the bottom of his "daily e-mail blast" (his words). He is a half decent writer, but his trade recommendations are likely no better than 50/50. And if he is an energy expert, why does he broadcast from the CBOT??
  9. Actually 50 cents or even a dollar in one minute is pretty common these days...we have been having at least one move of that magnitude that quickly almost daily lately. It's usually on high volume though and the slippage shouldn't be more than a few cents at most.
  10. nolajy


    you must be specific about the size of your order.. the time of your order.. and the placement of your order..i.e..... placed at resist/supprt/TL etc.

    intraday not at eia report time less than 10 contracts.. 1-2 ticks.. ba fill would be 3 ticks.. overnight ten contracts could slip 5 -10 ticks or more.. becareful in the night session..
    last 5 mins of day.. 1-4 ticks depending on size..

    TYpically though.. 1-2 ticks.. also depends on what was going on in the market.. did you get caught in a huge violent sell off, bad/good news etc..

    p.s. stay away from the mini crude if using stops. at 2.5 cetns per tick and low volume .. you can be down 5 to 7.5 vents in a millisecond.

    Lastly.. use an outright stop not a stoplimit
    #10     Mar 12, 2008