Futures with daily volume >20K is considered quite liquid. Eg of illiquid futures palladium futures micro BTC futures lumber futures ....
%% Avoid premarket\ avoid semi liquid stuff\ Tops + bottoms[daily or monthly] are rather infrequent so max slippage =not real common. 8-11or 80 million average day volume solves your problem. Super good, amazing fills, you may have noticed ,happen when we're on wrong side of trend. Only one liquidity leader=SPY; timing + trend => than any ratio. I averaged much better busting most any order up; impossible to accidently catch top or bottom LOL