Slippage/Market orders on ES

Discussion in 'Index Futures' started by EliteTraderNYC, May 2, 2013.

  1. Hey guys I've developed an awesome system in NT for individual stocks, but was wondering for ES, if you submit a market order what is the expected slippage for 1 to 10 contracts from your signal price/time? Is it advisable to use market orders for such a liquid instrument as ES?

  2. wrbtrader


    Don't use market orders in fast moving markets (e.g. volatility/volume surges).

    Emini ES spread is tight.
  3. zanek


    I've used market orders in the ES up to 5 contracts, and only have had a 1 tick slippage almost every time.

    Beats trying to enter a limit order, cancel it if not filled, resend the order, etc.
  4. If you are incurring 1 tic slippage "almost every time" you should at least try "buy ask" or "sell bid", both limit orders. Most platforms that I have used/seen have buttons for such.

    I personally do not trade ES, TF and YM are my indexes of choice, but with a .25 tic and a .15 tic differential from the full SP contract, you do need to do whatever you can to minimize slippage. Even if it saved 1 tic only once a day, its $3000 or so annually to you. JMHO

    Trade On!
  5. You may be confusing slippage with spread. Small order (under a 50 lot) rarely get slippage in ES during RTH.

  6. I've done automated trading wit ES for a year now using market orders, slippage is 1 tic per trade normally. Why market orders? Since it's automated I have to make sure every order gets filled.
  7. Slippage or spread, Quant?

  8. Spread is always 1 tic with ES, so in this case they are the same.
  9. Isn't what you mentioned above what happens by default when place a market order?!
  10. No. If the b/a spread merely jiggles (not to be confused with an actual trade) before your order is received AND executed, you receive the then current market price. You become the print. "buy ask" "sell bid" are limit orders based on the b/a price at the moment the order is sent from your platform/feed, which may or may not ultimately execute. Depending on your platform you may also have ability to set a limit offset parameter allowing your limit price to "chase" up to and/or by a certain number of tics or dollar value.

    If you can reduce ES "slippage" by 1 tic one time each day, it equates to $3000 or so annually to you, per contract that the 1 tic is applied to.

    Trade On!
    #10     May 5, 2013