Slippage on ES and YM

Discussion in 'Index Futures' started by sun170, Mar 30, 2007.

  1. sun170


    What kind of slippage, if any, can one expect on the YM or ES if only 1 contract is being traded?

    At what point (how many contracts) would slippage become a major factor?

    I have no experience with futures. I have only traded Nasdaq for the past 5 years. I have heard the ES is extremely liquid and YM is not. But I do not know how this liquidity will translate into fills.

  2. Schaefer


    Hi, the spread is usually within one tick most of the times, except during extremely fast market, news releases etc. The second question is beyond me as, I'm a one lot trading piker :D

    I've attached a snapshot of YM, and ES. So you could draw your own conclusion.

    Schaefer :)
  3. semiopen


    A guy in another thread mentioned he only enters market orders. Personally, I never enter market orders. One could enter a limit order to buy at the ask.

    ES has almost 10 times the volume of YM. There is less slippage on ES, but it also depends on the depth at the given price.

    If your trades are based on an obvious signal there are going to be people keying off the same thing. You might see slippage of 1/2 a point on ES (if buying at the ask for example) once in awhile.
  4. Greetings,

    Unless the market is absorbing some unusually news I usually only get 1 tick slippage on the YM when placing trades. (post and premarket will be more as the spread can get pretty huge)

    Since the dow is only $5/tick and the ES is $12.50/tick you can expect more slippage $ wise on the ES. See this link for further explanation:

    CajunSniper / Administrator-Trader
  5. sun170


    Thanks for the replies. Seems like the levels on both are thick enough for 1 contract not to be an issue. The YM does seems a little thin though if you start to press a little with size. Also, Im sure even on the ES, those levels can evaporate rather quickly when things get crazy.
  6. You will start to get slippage on YM when doing more than 10 cars unless it is during a big move. On ES, 40 cars is no problem with just 1 tick of slippage. I have been told by others that you can do 100 + but have never ventured that high.
  7. laputa


    I think buying with market order is more favorable than buying limit at ask. With a market order, you sometimes could experience negative slippage when market moving in favor when you send order, and the actual spread you pay over the long term is only half the spread (in liquid market). With limit at ask, you always get filled at the price you entered even when market move in favor to you at the time you send order. In this case your bid is even higher than the best ask at the time your order reach the exchange, and is filled immediately at your higher bid price), plus you risk not getting filled at all in a running market. Afterall a buy at ask limit is still a limit order.
  8. ime, except for sometimes during the doldrums (1130 to 2 EST), YM can absorb 10 contracts no problem without slippage
  9. The YM is an absolute dead end for doing a significant # of mini contracts. And because of this and other things, it is not easy to learn on.

    You misunderstand the ES.

    To understand the opportunities on ES, search for the three money velocity charts that I have posted.

    I have been using the 27FEB07 as an example elsewhere. You can see that a person coul pull down close to three digits per contract on that day.

    Now take a look at the contract level of trading. You can see by the six levels of money velocity charts and tables that there is always a trading opportunity.

    Next you can see that most of the time you can trade high levels of contracts. Sometimes, you do have to shift downward somewhat. And you can see that you always have the option of breaking up actions into parts.

    You speak of things getting crazy. Perhaps there are other names for this and the names depict a variety of opportunities for different levels of traders.

    To accumulate 20, 40, 60, 80 or 100 points per day per contract in ES takes a little strategizing.

    One trade on the 27th could nail the 40. what do the other trades add up to. 40 would be less than half simply based on the time required in the day.

    Crazy times are when the most money is being made. Look at senter's 2nd hook trading for example. How many 2nd hook are there in the S to R ranges on a tick chart during a day?

    In the 2 tick/min money velocity range on the charts and tables you see good chunks of the 81 bars. 40 minutes is 20 points; you have several of these periods in a day. this is the crazy time.

    Search for several other charts that show market volatility vs market pace for dailies and for 5 min bars. The 1600 bars show a month of bars which demonstrates the monthly magnitude of what is available. Run the total # of points to get in the bar part for a month and for a year.

    check out the overlap charts too. This shows you a lot about how frequently opportunities arrive on your doorstep.

    Here is a fundamental aspect of trading that is not handled by most traders. Because they feel the need to invent and to keep looking at new stuff; they lose sight of what makes the money. That is, they focus all the time on the NEW detail that they have acquired.

    It leads to "freak out" trading. Trading on one element of data. The opposite is true too. This is "freak out" trading by having three signals appearing all the time and not knowing what each or any combination of these means. Search the charts of the guy with the three red/yellow/green impulse streams along the bottom of his chart. You can see entry and exits are guesses.

    there is a thread running now on a list of something or other psychologically related. It is a nonsensical list that comes from freak out trading over a long time. It looks like putting tape on a softball for a couple of years and trying to play softball with it. It can't be done nor can the old cover be removed and a new cover be sewed on. The guts of the softball is shot and no good any longer for playing softball.

    Size is earned over time. You have to go by stages to acclimate.

    Then at some point market liquidity kicks in. Here you have size always available and you do three things.

    1. You let some contract sets ride "outside" your other trades.

    2. You do intentional partial fills to not show your hand.

    3. You always regard the numberr of contracts in a set as being compatible with the other sets going through the T&S.

    I practiced this in equities long before the e minis were invented.

    The details of the three above can be thought through, especially if you have a display that shows the games being played on the DOM and the T&S.

    th issue of slippage is moot it turns out since under any conditions of trading timing far exceeds any other consideration.

    The only fundamental rules (principles) of the market that are in effect all the time are to be in the market and be on the right side of the market. This means most trading actions are reversal when the market changes sides.

    Here the volume consideration is at its lower limit of the six ranges simply because price is reversing from one sentiment to another. You need a sentiment display for this and it is often easy to come up with an acceleration measure for this, since acceleration ends and deceleration begins as sentiment flips. Here is where solving for 0 on the second time derivative works quite well. You need to be cognizant of your data set input here to assure that you are in tolerances. You can use the offest of smart money trading to determine this in part.