Slippage on Ag contracts

Discussion in 'Commodity Futures' started by Pager, May 1, 2008.

  1. Pager


    I'm interested in trading the Ag markets but trying to get an indication of what type of slippage these markets can give so i can add that amount into back testing ?.

    the particular markets I'm interested in are the contracts that trade on the ICE exchange and i would be looking to trade the full session on Cotton(2), Sugar(11), Coffee and Cocoa, also the Soybean and Wheat contracts on the CBT.

    Having traded indexes for a while Ive got a good idea of slippage on most markets and they do vary from very little in the ES to at least allowing 10 points for the Hang Seng although on occasion Ive been slipped nearly 100 points on that market !!!.

    How do those who trade these Ag markets find slippage ?.

  2. What size are you looking to trade? AG by nature is thinner than bond or the big index futures. If you're looking to move <10 contracts in KC/CC/SB/CT for swing trading then it's usually easy enough to get your entry without too much slippage. Here is a table so you get an idea of market depth:

    JUL COFFEE NYBOT ~30 BID 135.12-135.25 --- ~600 ASK 135.30-135.65
    JUL COCOA NYBOT ~60 BID 2780-2785 --- ~30 ASK 2788-2792
    JUL SUGAR NYBOT ~140 BID 11.85-11.92 --- ~30 ASK 11.94-11.98
    JUL COTTON NYBOT ~60 BID 0.7109-0.7117 --- ~10 ASK 71.40-71.63
  3. Shagi


    Thats a difficult question to answer since all those markets have different liquidity levels at different times of the day or night.

    It varies from just 2 ticks in sugar/coffee/soybeans during regular session to as high as 15ticks in Oats/Rice overnight if you place orders on the market.

    Knowing what type of orders to use at time of entry can save your hide.

    I had nasty expeirience of exiting 3 rice contracts on the market at a total slippage cost of almost $500 :mad: