Slippage on QM and CL

Discussion in 'Commodity Futures' started by RhinoTrader, Apr 30, 2007.

  1. Anyone with experience trading these contracts - what sort of slippage is fair to expect when leaving stop orders in these markets?

    i'm used to trading ES and ZN (TY) where slippage isn't really a problem at all - 1 tick max. i've heard it can be far worse in the energy futures.

  2. Surdo


    CL is a high flier, expect a few tick slippage on a stop order.
    Put the stop a little earlier and use a 5 tick limit order above/below.

    Keep in mind it trades in pennies, while QM is .025 ticks.

    Good trading!

    el surdo
  3. On the full-size contract, 2-3 ticks would be the norm, with the occasional 1 tick or 4 ticks. The worst I've ever had in a non-news market was 8 ticks, but I shouldn't have been on that side of the trade to begin with.

    In the minutes before weekly inventories are released (wed @ 10:30 ET, natural gas on thurs @ 10:30 ET), you can easily get into double-digit slippage. If you don't have a really good reason to be in a trade when inventories are released, get flat. It can run 50 points ($500/contract) on you in a matter of seconds.
  4. rover


    if u get caught in a move, slippage in both can get pretty ugly
  5. thanks guys - appreciate the views. i'm in the process of designing a breakout system for the energy complex so wanted to get a handle on what to factor into the cost side...