Slippage on full S&P contract

Discussion in 'Index Futures' started by Splat, Jul 26, 2005.

  1. Splat


    What is the slippage these days and for how many contracts. How easy is it to get a fill of between 1-5 contracts? What I want to do is to do a complete in and out trade in 5 mins. Is this realistic?
  2. Why bother when you can trade ES?
  3. Pabst


    Depends on ES. Obviously if the mini is going quarter sellers you can buy all the 30's you want in SP. The pit still trades about 20% of the notional volume.
  4. landboy


    I guess the same reason paper buys/sells in the pits, there are locals to make a market for large orders. A 1000 car order would not work terribly well on globex if you bought/sold all at once, but would work on the AMEX, NYSE and pits since there is a middle man to fill it almost at market

    GRanted, I"m not sure if this is what hte original poster had in mind, but it's sure a compelling reason to keep the physical pits there.
  5. He said 1-5 cars. The equivalent ES wouldn't even make a ripple in the slowest time of day.
  6. Splat, if you are talking about trading the big contracts during the extended hours it's pretty easy.

    There is always a tight spread because of the automated arb system between the minis and the big.
  7. trading the big s&p is like giving a liscence to steal during anything close to a fast market. ive learned my lesson trading the big. its not a level playing field. the locals vs the institutional is ruthless. and then there is you the small little retail guy. they know who to screw.
  8. I'm a local, could you expand on your answer a bit.
  9. i have not traded in the pit for 2 years. but 75% of the time, if my stop would get hit, it would include slippage. why is that. and it happened no matter who i used as a floor broker. now i trade the es over those two years, i don't think ive EVER had slippage trading during the day. why is that. i think its because those in the pit have lots of discretion to do things. whatever happens, theres slippage in the pit and not in the emini. again i ask why. and during a fast market, in the pit wow, watch out. and I don't even have any recourse during a fast market. a really good friend of mine worked on the floor and I asked why he didn't anymore and he said there is just not much down there anymore. that was his statement.
  10. The floors are dead, it's over for them. All of them.
    #10     Jul 27, 2005