I plan to start trading crude oil futures, but my technique is fairly high frequency (about a trade every 2 minutes). Is it a given I will always pay 1 point on the bid ask spread, or can I expect to be filled better than that, at least sometimes?
You are confused ... 1 point in CL is 100-ticks, I have to suppose you meant 1-tick. Then the question is ... what type of order are you using? For STP orders (which I believe are managed at your broker server), actual slippage will vary ... I find 1-tick slippage on average to be a pretty reasonable assumption. I have no experience using STPLMT orders (which do reside on the CME servers). For MKT orders, slippage can be anything, depending on how long it takes for your order to reach the CME server & get processed.
+1 1 tick is conservative, you would be lucky to only get a 1 tick spread consistently in CL... Market orders, it can slip harshly...
When i use MKT order,i usually get 2-3 ticks minimum slippage,as with the CL futures spread is often 2-3 or sometimes 4 ticks.It usually goes well for me when i use LMT orders.When you get the signal,use LMT 2 tciks lower/higher your entry.Just a friendly advice.
Depends. It averages out - that was a one time occurance. Same happaned in YM if you were unlucky. THere was a time in the alst years where in YM the order book DISAPPEARED (same in ES) and the YM Was jumping 100+ ticks (points there) between trades. Flash Crash. Everyone smart pulled out (i.e. was not in the market). Learned a lesson (though I did not loose money - i was out at that time) and progammed an indicator evaluating the order book against a statistic. If it is abnormally thin, there is no sense trading
i can't wait to see what the intraday chart will look like when iran is bombed. i can see the et post now "i was filled 1,000 ticks above my stop - can i sue?"
OP- You may want to RE-consider if trading futures is appropriate for you. It may not be. BE ADVISED YOUR STOPS TO EXIT LOSING POSITIONS MAY NOT FILL AND YOU SHOULD ALWAYS CHECK YOUR STOPS. I know on our T4 platform when a STOP is executed in CL it actually becomes a LIMIT ORDER 50-cents away from the market. So if you have an order to SELL 5 CL-N2 @ 80.25 STOP, and the market trades at or below 80.25, the order that is sent is: SELL 5 CL-N2 @ 79.75 LIMIT. This will often fill at 80.25 or slightly below, but it MAY not fill if market's thin for some reason. Make sense? ALWAYS CHECK YOUR FILLS. Good luck in the global oil markets.
For background, I'm coming from the world of Forex, and my experience has consistently been I get filled with little or no slippage. Frequently, I am filled with no spread from the bid-ask midpoint price. I use an automated system so there's never any "point and click" delay. I only use market orders. I hope that, to give an example, if I put an order to sell crude oil when the market is at 84.25 that I won't be filled any worse than 84.24. Naturally, I'm not talking about flash crash or weekly report situations, just normal day-trading activity. Thanks for all the responses.