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Comparing Slippage in Different Futures

  #5 (permalink)

Dallas TX
Posts: 3 since Aug 2017
Thanks: 2 given, 3 received

dakine View Post
Most occurrence of slippage I've experienced is NG and YM, pretty often getting 1 tick slips with the occasional 3-4. 6e before the increment change was fairly reliable, a few occasions with 1 tick slippage, now tho its pretty often. My worst was about 6 ticks on 6e. I normally stay on the sidelines until a couple of minutes after major releases like FOMC, NFP, and inventory reports those days can be nuts.

The YM is middle of the pack in terms of volume on CME futures, so if 1 tick is the common slippage there, that make me more confident that I can put together a list of at least 10 symbols to trade. Of the symbols I listed above that I am considering, the only ones that have less volume than YM are 6B and SI.

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