Discussion in 'Index Futures' started by danxl, Nov 15, 2002.
Here's today's detail on the trade. Am I getting screwed by the IB?
Pretty fast, maybe the IB takes a cut?
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.
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.
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. 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.
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.
Oh...I forgot to mention that if you trade 50 contracts then what I said definately doesn't apply to you!
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