Slippage

Discussion in 'Strategy Development' started by etrader, Sep 28, 2002.

  1. etrader

    etrader

    Hey,

    I'm new to elitetrader (as far as joining and posting) and this is my first thread so bear with me. I want to know what people are calculating in there trading strategies for slippage. I'm a stock guy so I normally set it to 10 cents. I'm interested in trading futures (S&P+Nasdaq Mini's, Big S&P, etc). I'm hoping you guys can let me know what your inputting for slippage in your calculations for whatever derivative you trade and why.

    Thanks

    etrader
     
  2. When I papertrade, I use .50 slippage (ES).
     
  3. Quah

    Quah

    Depends on how you trade. If you always trade with limit orders, then slippage is gong to be 0. If you are trading ES with market orders, .25 should be fine unless you are trading big size. If you are trading SP's, that's a whole other ballgame for slippage.
     
  4. etrader the amount of 1-2 ticks in futures is good enough, on both sides of the trade. Whatever the value of one tick is re: the contract you are looking at. But you must also keep in mind the spread between the bid and ask. For example the spread between the bid and ask for a gold contract might be greater than one or 2 ticks. I don't know.

    When backtesting, vague works great as far as entry and exit prices go. I backtested a little stock program that made 25K on 350 trades (RT's) over the previous 100 days. If I factored in just a nickle difference on both sides of the trade, and added in commish, the whole thing was a big loser.

    When backtesting, be sure you can reproduce in real time the trading paramaeters of the test. Especially when it comes to fills.
     
  5. etrader

    etrader

    Thanks for your replies, I think you guys are giving a good starting point. I'm thinking of 10 lots of S&P mini's using 5 minute data. I'm also interested in trading Euro's. They're pretty liquid.
     
  6. 10 lots of e minis ?

    sheesh .... every point then = $500

    theoretically if you caught fridays range

    you would have made close to 15 grand

    you must be one of those 5000 share Inca mister
    softee all star mister softee / IBM monster prop
    traders !!!

    good luck and health in your stock index futures !
     
  7. Using our auto execution software we are seeing .25 slippage on the es. Even larger orders seem to fill within .5.