Hopefully this is the right forum. I have a stock trading strategy I'm looking to apply to futures. Looking at the market depth window, there is a spread that can vary from 1 to 3 times the minimum multiple ( from 0.25 to 0.75 for a minimum multiple of 0.25). Looking at tick data, there are times where dozens of contracts trade at the same price. Likewise, there are times where a single contract moves it by two multiples. So, what types of spread and slippage ( in minimum units) do people normally see in roundtrip trades involving fairly liquid futures contracts?
On the ES there isn't any slippage trading small size unless your holding through a news announcement. The spread is normally 1 tick, if you buy right now @ 1096 and want to sell imidiently 1095.75 you lose 1 tick or $12.50 a contract.