Strategy Question

Discussion in 'Automated Trading' started by VisionTrader, Aug 10, 2005.

  1. I am having a hard time understanding something and I was hoping someone could help me out a little.

    I trade a strategy on the Russell 2000 mini. (ER2). I have been trading it real time for almost a year. The strategy adds contracts as equity grows. I am sure many of you have done this with the Russell, but I have to be realistic about how many contracts can be traded without unrealistic slippage. My strategy only takes one trade a day. It is not in and out of the market.

    Here is my question. How can I determine how many contracts the Russell can trade at today's volume levels without a ton of slippage at the market. I know this is not an exact science, but I really not sure how to guage this.

    Guess I was hoping some of you heavy hitters who are actually trading very large size could PM me or something. I have capped my strategy at 100 contacts traded and I am not sure if that is realistic.

    Any help is greatly appreciated.
  2. AaronCapps

    AaronCapps Global Futures

    A simple trick is to look at the depth of market for orders working at the price you are going to be filled at, and that of the orders around it. If your ticket size is almost as large as the amount of working order, or even larger, then more then likely you are going to get a split fill.

    Also, depends if you are using stops, limits or market orders. Let me know if you need any more help