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Average CL slippage
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Created: by ikeaboy Attachments:1

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Average CL slippage

  #11 (permalink)
Membership Permanently Revoked
Futures Experience: Intermediate
Platform: nt
Favorite Futures: cl
Posts: 52 since Jun 2011
Thanks: 54 given, 5 received

my setup

ikea this is one of my setups...may you buy lots of curry with it! Shalom,Namaste on all that jazz. all indies here and settings are shown. just scalp away man and help yr fellow man.

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  #12 (permalink)
Trading Apprentice
Crescent Beach
Futures Experience: Advanced
Platform: Ninja
Broker/Data: Amp/ZenFire
Favorite Futures: Currencies, Stock Indicies & Eurex Bund
Posts: 5 since Jul 2009
Thanks: 4 given, 3 received

Big Mike View Post
If you are trading breakouts on CL, you will rarely get filled using stop limit.

* * *


I use stop limits on break-outs every day in CL . . . and am always filled.

If you set the limit too small you run the risk of getting jumped but I use those orders simply because they get filled faster.

For the OP: You will almost always get 1-2 ticks slippage on a stop market order in CL but less than 50% of the time with a stop limit. I've been trading that market since late-2006 or early-2007. Computer algorith trading has all but ruined it now, though. Hysterical whip in a 5-tick range, then spikes out 10-15 ticks and ping-pongs again . . . all day.

Good Luck!

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  #13 (permalink)
Elite Member
Maastricht, The netherlands
Futures Experience: Beginner
Platform: Ninjatrader and Multicharts
Favorite Futures: ES,NQ.YM and dutch stocks
Posts: 15 since Nov 2011
Thanks: 2 given, 1 received

slippage light crude oil

Hello guys,

First sorry for my english.

What is you're experience with the slippage of a automated trading strategy trading light crude oil colocated in chicago?



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  #14 (permalink)
Elite Member
Phoenix, AZ
Futures Experience: Intermediate
Platform: T4
Favorite Futures: CL
Ezeboog's Avatar
Posts: 11 since Mar 2013
Thanks: 3 given, 7 received

My avg hold time for CL is in the 2 to 4 minute range and I enter and exit with market orders based solely off of orderflow. I keep a close eye on the delta by reading the tape (DOM and time & sales) and determine whether to enter or exit at inflection points based on the liquidity or lack of it in these areas. I am able to keep slippage to an avg of 1 to 2 ticks by taking contrarian entries and rarely ever chasing. On the rare occasion I chase, it's only because I feel there is extraordinary orderflow in one direction and even then i will most times wait for a second entry to keep slippage in check. I would not recommend entering with market orders without a comfortable understanding of tape reading. I also avoid trading during times of high volatility and low liquidity (such as during EIA release). Low volume gaps can get out of control during these periods

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  #15 (permalink)
 R.I.P. 1987-2018 
Futures Experience: None
Platform: corded black telephone
Favorite Futures: ticker tape
Posts: 2,895 since Apr 2012
Thanks: 1,683 given, 3,642 received

I find it best to put a limit order at the point I'd enter a trade a few ticks ahead and wait for it. If price starts to stall and exhaust itself before hitting my limit I'll just scratch the trading idea due to lack of momentum.

R.I.P. Joseph Bach (Itchymoku), 1987-2018.
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