Experience with Slippage/Delay on ES S&P 500 as you increase contracts? - Commodities Futures Trading | futures io social day trading
futures io futures trading


Experience with Slippage/Delay on ES S&P 500 as you increase contracts?
Updated: Views / Replies:3,886 / 21
Created: by superbdude Attachments:3

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 3  
 
Thread Tools Search this Thread
 

Experience with Slippage/Delay on ES S&P 500 as you increase contracts?

  #11 (permalink)
Market Wizard
Sarasota FL
 
Futures Experience: Intermediate
Platform: NinjaTrader, Sierra Chart
Favorite Futures: ES
 
Posts: 3,632 since Jan 2013
Thanks: 26,740 given, 11,106 received
Forum Reputation: Legendary


choke35 View Post
... or frankly speaking:
If $750 bucks of slippage are a problem for one who trades ~$2.9 mio of notional value that sounds like
completely cluelessly dabbling sim - or worse: dabbling sim scalping.


superbdude View Post
Technically it's my 3rd completed course. Anyway, is anyone reading this trading the same number or higher? I just want to know if there is anything I don't know about or should be concerned about as I increase contracts. Or is there somewhere I can learn more about the hidden perils of trading higher amounts?

You're getting disbelieving comments because you are talking about a level of size that very few traders, except the most experienced, ever actually trade in real life.

If you have been "trading" in simulation, then that answers many questions. If you were trading live, that is, with actual money doing real trades in the market, you would not have these kinds of questions, and certainly not if you were trading this kind of size.

If your are in fact trading in sim, the place to go to "learn more about the hidden perils of trading higher amounts" is to have a real account and to trade real money, starting with one contract. You will find perils that sim (and your courses) never prepared you for, with even a small amount of money actually at risk.

Slippage from your gigantic size is just not going to be a problem, once you are really putting in real trades. Controlling youself in the face of risk, which is totally absent in sim, will be.

And no, no one is going to believe that you are trading real money in this size with these types of naive questions.

But for what it's worth, ES can take this size fine. Now go trade it with the size that makes sense for a beginning trader, and don't worry about things that you are not actually dealing with. Or putting up questions like this.

Bob.

Reply With Quote
The following 6 users say Thank You to bobwest for this post:
 
  #12 (permalink)
Elite Member
Buenos Aires Argentina
 
Futures Experience: Advanced
Platform: NT, MT4, Sierra
Favorite Futures: S&P, Bonds, Crude, FX
 
Posts: 250 since Sep 2014
Thanks: 37 given, 239 received

ES should be able to handle 100 contracts during normal liquidity without an issue (regular NY hours), and 25 during London. IF all orders are market, and the setting is no filter on max slippage and must fill all orders, you might start seeing that slippage creep up after 10, especially if it's a 1.5M volume day or during lunch.

Reply With Quote
 
  #13 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 3,042 since Sep 2015
Thanks: 6,547 given, 4,804 received
Forum Reputation: Legendary



Inletcap View Post
in the most liquid market in the world

Hi Inletcap - I would have agreed a few years ago that ES was perhaps the most liquid market - but I would say that's no longer the case. Probably T-notes is the most liquid.

Unless my definition of liquidity is different from yours?

Reply With Quote
The following user says Thank You to xplorer for this post:
 
  #14 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,640 since Feb 2013
Thanks: 4,896 given, 6,424 received
Forum Reputation: Legendary


xplorer View Post
Hi Inletcap - I would have agreed a few years ago that ES was perhaps the most liquid market - but I would say that's no longer the case. Probably T-notes is the most liquid.

Unless my definition of liquidity is different from yours?

At the moment, the Top-3 ranking of S&C is:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Definition in terms of equal $ profit attached:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 3 users say Thank You to choke35 for this post:
 
  #15 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 3,042 since Sep 2015
Thanks: 6,547 given, 4,804 received
Forum Reputation: Legendary


superbdude View Post
Haha, probably both. Technically it's my 3rd completed course. Anyway, is anyone reading this trading the same number or higher? I just want to know if there is anything I don't know about or should be concerned about as I increase contracts. Or is there somewhere I can learn more about the hidden perils of trading higher amounts?

I just wanted to add a different angle to the question. As well as average size of resting orders in the order book, the other function to keep in mind when trading bigger size is where you are about to buy/sell.

In the attached pic the inside offer has only 10 contracts. If you were to buy 30 contracts at that moment in time at market you would inevitably have 'slippage', as in, you would get filled for 10 contracts at 1933.75 and filled for the remaining 20 at 1934.00. So you would have 1 tick slippage on 20 contracts.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Say you wanted to sell 500 contracts on the ES at market. In the screenshot above you have 197 contracts on the bid. That means the first 197 contracts would be sold at 1933.50. Then you would have 224 more contracts sold at 1933.25. The remaining 79 contracts would be sold at 1933.00. So overall you would have 2 ticks slippage across the 500 contracts.

Clearly the more contracts you use the more this phenomenon is likely to occur.

This is at its most basic levels. There are techniques to reduce slippage, e.g. iceberg orders which are more advanced.


Last edited by xplorer; February 22nd, 2016 at 10:35 AM. Reason: clarification I'm talking about market orders
Reply With Quote
The following 3 users say Thank You to xplorer for this post:
 
  #16 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
Platform: CQG
Favorite Futures: Futures
 
xplorer's Avatar
 
Posts: 3,042 since Sep 2015
Thanks: 6,547 given, 4,804 received
Forum Reputation: Legendary


choke35 View Post
At the moment, the Top-3 ranking of S&C is:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Definition in terms of equal $ profit attached:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

I see, thank you choke35 - probably my definition was too simplistic, i.e. I was looking just at the number of contracts (on average) resting on the DOM.

Reply With Quote
The following 3 users say Thank You to xplorer for this post:
 
  #17 (permalink)
Elite Member
North America
 
Futures Experience: Advanced
Platform: NT
Favorite Futures: ES,
 
Posts: 44 since Sep 2015
Thanks: 73 given, 86 received

I would hate to see an account of that size drawdown to the extent of most beginner accounts.

Rather than giving it to the institutions, please divide the balance among the traders in this thread.


Reply With Quote
The following 3 users say Thank You to stefan777 for this post:
 
  #18 (permalink)
Elite Member
Murrells Inlet SC
 
Futures Experience: Advanced
Platform: Tradestation
Favorite Futures: ES, CL, ETFs
 
Inletcap's Avatar
 
Posts: 9,158 since Dec 2012
Thanks: 9,765 given, 25,670 received


xplorer View Post
Hi Inletcap - I would have agreed a few years ago that ES was perhaps the most liquid market - but I would say that's no longer the case. Probably T-notes is the most liquid.

Unless my definition of liquidity is different from yours?

I just knew someone was going to call me out for that statement- You are correct, however, I believe I got my point across

Reply With Quote
The following 2 users say Thank You to Inletcap for this post:
 
  #19 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,106 since Dec 2013
Thanks: 1,740 given, 3,324 received
Forum Reputation: Legendary


choke35 View Post
At the moment, the Top-3 ranking of S&C is:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Just curious, where does GE stand?

Reply With Quote
The following user says Thank You to SMCJB for this post:
 
  #20 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,640 since Feb 2013
Thanks: 4,896 given, 6,424 received
Forum Reputation: Legendary



SMCJB View Post
Just curious, where does GE stand?

6E ranks fifth, GE ~25th.

Reply With Quote
The following user says Thank You to choke35 for this post:

Reply



futures io > > > > Experience with Slippage/Delay on ES S&P 500 as you increase contracts?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Slippage w/ one ES contract? ptt196 Emini Index Futures Trading 11 December 27th, 2015 01:25 AM
How Many Contracts on ES? Hood Psychology and Money Management 21 July 2nd, 2014 03:30 PM
500 ms delay. How to create one arjfca MultiCharts 1 July 6th, 2011 09:47 AM
Typical ES slippage from backtest to live frostengine The Elite Circle 4 June 2nd, 2011 04:37 PM
Interactive Broker: Slippage. What is your experience arjfca Reviews of Brokers and Data Feeds 8 January 12th, 2011 08:08 AM


All times are GMT -4. The time now is 12:43 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.14 seconds with 20 queries on phoenix via your IP 107.20.115.174