It is impossible to be a scalper while trading 500 NQ. If you have a system that catches 5 - 10 points on average... and your stop is 3 points.... you need to figure you will have about a 4 point slippage in anything but a dead market. In fact you'll have slippage on the way in, and slippage on the way out, regardless of whether it's a loss or a profit. A more appropriate system would be catching 15-25 point moves. With a risk of 5 points. That would mean position trading or swing trading. Maybe take one or two trades a day. One way I trade size is I watch price fall to support, and then I put in a bid for 500. Lots of times, if it's the first time it's approached that support, you'll get filled 100, and then a bounce of a few points.... here I'll sell my 100. Then as it approaches my buy line again, I'll pull my bid and see how the real support holds. If it holds up for a minute or so, i'll buy all 500 limit at offer price. Usually this fills me a quick 300. I leave my other 200 there. If the offer lifts again, I move my bid of 200 up to the next level. Usually I get filled here. Words of warning.... I blew up trading about 700 contracts. If I were to do the same thing today.... I'd make sure I was hedged... and that I wasn't overleveraged. That said, i don't think I would trade more than 100 NQ's. I'd rather trade multiple contracts... stocks, options, etc. You never know when some 80 point NQ spike is going to take you out. I had that happen to me 3 times in 2 years. Another note, it's better to buy NQ than to short. Reason being that there is no protection from those spikes on the upside. On the downside you have "limit down". (which makes me think those spikes are manipulation. If they were pure coincidence, every once in a while, we'd see some limit downs for no apparent reason) edit: I don't think most people have the risk tolerance for winning or losing 5k to 10k on every tick. And those that do are probably cowboys like me, shooting the from the hip, and no backup plan for when the shit hits the fan.