The daily volume on ZB looks about the same as YM. I consider YM to be very thin when trading more than 5 contracts. Anyone know what kind of slippage to expect trading ZB with 10 or more contracts? Thanks.
It's like everything else. On 10 lots (which is my ZB unit also) the slippage 99% of the time is nil. HOWEVER on stops-if the market is motoring through a cascade of stops-the slippage can be several 32nds. I ASSUME that any ZB trade I make could be a 2pt (128/128ths) loser in seconds. Strange stuff can happen.
during the day 10 contracts shouldn't slip more than 1 price 99% of the time. at inflection points though it could easily slip 5 tics
Slippage is not the issue in ZB, a FULL 10 tic move on light volume will shake the low hanging fruit out of the tree if you are not paying attention!