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Average CL slippage
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Average CL slippage

  #1 (permalink)
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Average CL slippage

I have never traded CL live so I wanted to ask you guys what the average slippage is on 1 or 2 contracts (during the US trading session of course)...

The reason I am asking is because I just find it difficult to trade ES because it is hardly moving and the tick size is pretty large... (so patterns arent well defined).. therefore I am lookig around for other instruments which move better..

thank you.

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  #3 (permalink)
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Check here:
https://futures.io/commodities-futures-trading/1303-cl-crude-oil-futures-contrac...-size-value-margins.html

Short answer, during non-news events, most of the time, you will get only 1 tick of slippage at most. But during more volatile periods like we had early this year, the spread was 30-50 ticks and it was moving 200 ticks a minute.

My general advice: Do not trade CL unless you are already long-term profitable trading other instruments.

Mike

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  #5 (permalink)
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thanks for the answer...

the spread was 30-50 ticks? constantly or just during short periods of time.... i cannot really imagine that...

yes i have heard you saying that CL is not for beginners... i am not a beginner anymore but also no professional... i am just not sure with which instrument i should go... and i found that CL really responds well to my analysis...

actually i wanted to go with ES but i find it somehow harder to trade than CL... i even find it difficult to get a RRR of "only" 1:1,5 with ES because it is just not moving... in CL you usually get it easily... (when trying to enter pullbacks in direction of the trend)

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CL trades with larger swings and runs faster than eg ES, so I recommend to trade using Limit or StopLimit orders only. With these ordertypes I rarely get worse than 1 tick slippage with 1-4 cars during open Pit hours. Now, using barebone Stop orders for breakouts will most propably give you several ticks of slippage, depending how strong the breakout is. And if trading at news times, like NFP or even weekly Oil Inventory Report, be prepared for occasional wild priceaction with huge gaps (5...10 or even more ticks) in orderbook, so Stop orders will kill you unless you use really wide spread.

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  #7 (permalink)
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i was looking at a 200 tick chart as a main trading timeframe and the swings looked very good and tradeable... however my approach would be worthless if i have more than 1-2 ticks slippage... average SL using that timeframe would be a little over 10 ticks... target at least 15-20 ticks and much more if its a runner... is this approach reasonable?

btw - entry with stop market...

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I would say you will have occasional slippage over 2 ticks during the day with that chart & entry setup. 10 ticks SL is fine, but as your method is very sensitive to exact entry point, use StopLimit entry instead of StopMarket. You may miss some violent runs, but your successful entries will be filled with exact or 'positive' slippage (ie better than initial entry).

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  #9 (permalink)
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If you are trading breakouts on CL, you will rarely get filled using stop limit.

In general my advice is "no" here, simply because if you don't know already or are asking --- for this type of setup, this type of market, it isn't going to work.

You might try looking at YM, or try the micro secondary FX market like M6E or E7 if you are looking for smaller tick size values while still trading futures. If memory serves, YM is $5/tick, E7 is $6.25 a tick, and M6E is $1.25 a tick. Could be wrong so double check.

Also I would advise to do the opposite --- don't go smaller (time frame, stop loss, target). Go bigger. Bigger time frame, bigger stop, bigger target.

Mike

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  #10 (permalink)
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I mostly use limit orders on CL, slippage can be a problem...

If you're going to trade breakouts, you will have to have limits in place or enter before it breaks. It moves very fast....

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