slippage for mini sp

Discussion in 'Index Futures' started by danxl, Nov 15, 2002.

  1. Te'

    Te' Guest

    It's not...
     
    #11     Nov 15, 2002
  2. acrary

    acrary

    Here's today's detail on the trade. Am I getting screwed by the IB?
     
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    #12     Nov 15, 2002
  3. ddefina

    ddefina

    Pretty fast, maybe the IB takes a cut? :D :D
     
    #13     Nov 15, 2002
  4. chisel

    chisel

    Seems slow to me. I get fills with Interactive Brokers on Globex that are nearly instantaneous. I'd say easily less than 1 second. A/C/E is a bit slower.
     
    #14     Nov 15, 2002
  5. You're trading 50 contracts!!! That's $100,000 just for initial maintanence! Jesus -- every two handles for you is my entire trading account.

    Oh well, it is all relative. At this stage, I couldn't handle seeing $625 each tic movement.
     
    #15     Nov 15, 2002
  6. Aaron

    Aaron

    If you simultaneously sent the following two orders to the market...

    Buy 1 ES at the market
    Sell 1 ES at the market

    ...and the market is currently at a bid of 900.00 and an offer of 900.50, the buy is going to be executed at 900.50 and the sell is going to be executed at 900.00. Your slippage for the round trip trade will be 0.5 points.

    Now we usually don't enter our buys and sells at exactly the same time. :cool: but this little exercise shows us that on average we should have 1 tick of slippage per round trip for a market with a 1 tick spread where our trade size is always equal to or less than the size bid and offered.
     
    #16     Nov 15, 2002
  7. In my opinion, the proper value for slippage should be the price you pay to get into and out of a position. If you buy at the ask and sell at the bid, then you are paying the spread. If you trade during business hours then it would seem logical to assume one tick for the ES. If you trade at night as well, then I'd say use two ticks to stay on the conservative side.
     
    #17     Nov 18, 2002
  8. Oh...I forgot to mention that if you trade 50 contracts then what I said definately doesn't apply to you!
     
    #18     Nov 18, 2002