Slippage and ER2

Discussion in 'Order Execution' started by granville, Feb 7, 2006.

  1. I'm working on a high frequency trading system for the ER2. For any of you who have experience trading this contract could you suggest values for the following:

    Slippage/Contract: How efficient is Globex at filling stop orders? What is a reasonable expected slippage?

    ER2 VS Index: How closely does the contract move with the index on a minute/minute time scale? (I do not have access to intra-day ER2 values yet..working on it though).

    Obviously these are the MAJOR considerations when working on a HF system. Any experienced traders having values for these would be much appreciated.

    Thanks in advance,
  2. FredBloggs

    FredBloggs Guest

    no idea about er v cash. why would you give a damn unless you are arbing - which you arent otherwise you wouldnt be asking these types of questions.

    slippage will depend on your size (split fills). globex is a great matching engine, but again slippage will depend more upon your broker or platform due to order protocols.

    if trading < 10 lots slippage shouldnt be an issue.
  3. thanks, I would be trading just 1 contract. I don't yet throw a 'big line'. But I am fishing for a HF system.

    I trade through IB, and work out systems on Trade Station. A problem I have with Trade Station is the availability of some intra-day data. I can only look at the index intraday, not the actual contract so my system will most likely be off a bit.
  4. Agree.

    Only times I have slippage problems (once in a full moon) with ER2 is due to problems with my broker platform.

    (a.k.a. NihabaAshi) Japanese Candlestick term
  5. For me, Globex native 'stop market' orders fill at 0.0 to 0.1 slippage (no slippage to one tick slippage) most of the time - however I have experienced bigger slippage when a small truckload of contracts are gobbled up at one time - 0.4 to 0.5 (4 to 5 ticks) under these conditions.. my worst was over 1.0 or 10 ticks, but that is pretty rare - and of course if you look back over the historical data you will see instances where someone presumably gets fat fingers and 'screws up', tanking the thing 5-10 pts in one shot.. as to whether these get busted or not, someone else might be able to answer.. in this last scenario, I believe it last occured in August of '05..

    Liquidity and volume have only increased, especially lately, for ER2.. of course if you are moving any decent size, your slippage considerations will be different. Additionally, it seems logical that Globex native stop orders will be filled at the same speed (once received) regardless of your broker - again, someone else might be able to elaborate better on this.
    Subjectively speaking, often there are decent divergences, particularly in terms of higher highs/lows on the cash vs. lower highs/lows on the mini, or vice versa.. someone else can probably chime in here and give a more objective answer.. best to obtain the data and run tests yourself... you can find the complete dataset for reasonable prices..

    Hope this helps.
  6. Hi Fred,

    Can you elaborate more on this? When using Globex native stop orders, I can choose stop limit or stop market - and always thought it is the same type of native stop order offered through any other broker/platform.. and therefore will be filled in the same manner regardless of broker, given that the orders are received/processed by Globex simultaneously..

  7. Yes, it does help. I made the call earlier to TS and it will only cost $20/month for the datafeed. I'm also using larger time frame intraday bars against the index for testing.

    Moving from daily to intraday is whole new animal.

  8. jordanf


    I will just throw in my two cents. Get the futures data as soon as possible.

    I have seen many systems that are wildly profitable, holy grail type stuff when applied to an index, and then the same exact system is lousy or even flat out unprofitable when applied to the future. Shorter term systems seem especially vulnerable to this.
  9. I purchased the data from the exchange today. Indeed this seems to be the case. I wonder how many people see this and are chasing after the same entries/exits at the same time.

    My bet is that I'm seeing fools gold, but I will try applying some game theory to this in an attempt to get the fills I'm looking for.

    One tricky point is trying to 'Anchor' the futures price against the index... do I use the open price? The average deviation between the ER2 and the index during the prior day? Or do I trade the ER2 off of signals generated by the index (time being the anchor)? I'm not sure but will spend the next few days on this problem.

    A modified version of my strategy IS profitable on the IWM, but not nearly as much so.. nor is there the leverage.

  10. Just from experience, the index has to be lagged big time to the futures.

    So you are trying to trade old prices.
    #10     Feb 14, 2006