I'm wondering if any who actively (meaning scalping 10-20 trades a day) trades the Euro FX (6E contract) could tell me what sort of slippage one can expect using market orders?
I've personally seen something on the order of 1 - 3 ticks depending on market conditions. On the whole it is not too bad but I use limit orders for the most part unless it is a fast market.
Would you say that occurs mostly when the market is moving as opposed to when there is a pause in the action?
For most of the time the spread on the EuroFX will be 1-2 ticks. So it is a pretty tight market. When it gets fast you can expect more slippage but overall it is not nearly as bad as some markets. I've experienced worse slippage in the ES more times than EuroFX but that's just my experience.