Slippage and /ES

Discussion in 'Order Execution' started by I'mbatman, Sep 26, 2011.

  1. I had a question regarding the cause of slippage. The way I understand slippage is this:

    Lets say I am long 1 contract at 1190.00.
    I place a Limit order to sell at 1200.00

    Lets say there are already 1000 contracts with a 1200.00 limit order.

    Does my order go to the end of the line? So when the ES hits 1200, I have to wait for the 1000 contracts ahead of me to fill and by then the price could be 1201.00?

    This is an example of slippage working in my favor but the question is still the same.

    The next part of the question is how do you get to be the front of the line? Is it a broker paying lots of $$$ to be filled first? first come, first serve?

    Finally, do market orders literally jump the queue and get filled first?
  2. first come first serve, that's the beauty of Globex. JP Morgan can't get filled until you do if you're in line ahead of him.

    Slippage only occurs with market orders. Many use market stops because if you want out you want out now.

    so if your mkt order is in line it will not get filled until it's your turn. If the mkt moves against you then you are now a mkt order at the next price, so on and so forth.

    Usually no slippage in a quiet mkt, but nothing is guranteed in a fast mkt.

    ES probably has less slippage than any other mkt.
  3. but yes, a mkt buy is actually a buy limit, check with your broker, I think mine enters it 1 above the ask. So I am the best bid. But it can't jump ahead.
  4. You would get filled at 1200 then. Not 1201. You will be the market at 1200 before the price moves to 1201.
  5. not neccessarily. If you're trying to buy at 1200 once all the sellers at that price are gone it moves to 1201 where the next best sellers are sitting. That's slippage.
  6. but we're talking mkt orders here, you are correct with limit orders, but there is never any slippage with limit orders, although there can be positive slippage.
  7. Differentiate between market stop orders and stop limit orders.

    Market stop orders are obviously triggered to execute at the market when your chosen price is hit. They only specify the price at which your market order is triggered, not the price for your execution. The instruction sent to the exchange is as follows: "Hey! I`m a loser, get me the hell out of this trade, I`ll take the market price!" Slippage is usually not a problem in the ES using market orders even in a fast market, at least not for the average ET trader :) My poor attempt at being funny was aimed at the use of stop orders to get out of a losing trade. They can of course be used to enter trades as well.

    Stop limit orders are a little more fancy, as they are a combination of limit orders and market stop orders. You specify the price at which your stop order is activated with a corresponding limit price at which you want the trade executed.

    I have never used them and will never use them either. If I`m wrong, I want to get out and I`ll take the price that is offered to me, which with the ES usually is exactly according to my expectations. I will not take the additional risk that the market leaves me behind in the red.

    No. A limit sell order @ 1200 is an instruction to execute a sale @ 1200 or better (which may at times happen). No one will complain if they get a better price, even if it`s just a tick :)
  8. sorry, should have differentiated, if it's a limit you just won't get filled, that's not slippage, that's just not getting filled.