Discussion in 'Index Futures' started by merchant, Jun 21, 2002.
Whats the average slippage when trading lets say 5 eminis on globex ? (during the day)
Is the execution instant ? would I get filled at the BBO if I entered a market order ?
Whats the slippage when trading 500 sp minis on globex 9:30 to 4:10 pm? You can divide the order in ten 50-lots - and I think - you can have close-to-zero average slippage. I dont know, dont trade that size!! I just look at this huge # of contracts rolling on my screen with lighting speed...
No slippage if you use limits and stop-limits.
If I have an order to buy 2 eminis at 1025.25 limit (i.e., or better),
and the market touches 1025.25 on the way down, then reverses never looking back for the rest of the day, will i get filled at 1025.25 ? what's the percentage of times I'll get filled, vs not filled, when the market just touches 1025.25 and then reverses up?
Depends on when you got your order in. But if it trades just a few ticks, I'll guess you probably won't get a fill. In fact the time and sales can be spinning like a slot machine and you still may not be filled until the second or third time the market bumps up against your limit.
With 300 to 500 bidders at a given price level (at times) you have to give up the quarter point if you want a fill.
None...if your doing them right!
I would not worry about slippage at this stage of the game with globex, etc...If you pick your spots right, understand where the market might "slip", (i.e. break a pivot high or low and take out a row of resting stops), then you are doing fine...Alot of time you have to know where the market is likely to get dicey...And each day is different regarding movement and potential slippage...Obviously, you should also understand that the time frame you are trading on will have a dramatic affect on how much you get hit with slippage...If you are trading micro time frames and trying to get ticks, you are going to have a higher cost of trading...If you enter on breaks with the micro trends you are going to have more slippage...If you exit when the market runs against you (i.e. trailing stops) you are going to get slippage...BUT if you enter against the micro time frame, you get positive slippage, if you exit as market runs in your favor, you get positive slippage...so, to answer your question, it depends...lol
It depends where your order is. Sometimes only a few trades
are made at your limit price.
Separate names with a comma.