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


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

  #21 (permalink)
FoxKaren
New York City
 
Posts: 13 since Nov 2016
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Because the ES is such a liquid market you won't really experience slippage even with increased contract sizes. Where you may experience slippage trading the ES is when you are trading during very low volume periods, probably when certain important news or reports come out or trading certain order levels.

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 forgiven 
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superbdude View Post
Hi folks,

I've heard rumors that slippage is a factor as you increase contracts on the S&P 500 Eminis, is there a level where that starts to affect my trades? 50 contracts? 75 contracts? And is there a level where I should start to look into other options to make my increase in contracts smoother?

Also, does anyone have experience with slippage? If so, care to share your stories?

slippage is a deep subject . you do not get slippage using limit orders. most larger traders will use a execution algo on xtrader to deal with that in a number of ways. where you run into the killer slippage is when your stop is hit . your using a market order and your not the only wrong footed trader. you can get 2 or 3 ticks in a fast market. i would agree with the other trader that suggest bonds. hope it helps

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  #23 (permalink)
order66
Marin County, CA USA
 
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Pull up a 2000 contract volume chart for ES_F and notice how many 2 tick bars there are.

Should answer your question.

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  #24 (permalink)
 tpredictor 
North Carolina
 
Experience: Beginner
Platform: NinjaTrader, Tradestation
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A lot of the answers here are incorrect. While you normally won't experience slippage it can fluctuate dramatically based on conditions, time of day, wrong order types, etc. Also, if you are a point-and-click trader then you can the market can move 4 to 6 ticks before you can even see it. So it might not technically be slippage but it can happen esp. when trading with the algos.

One big peril is of course the stop loss isn't perfect in the real world, not even close. If you don't have enough in your margin account and multiple orders working, your stop won't might not even be placed even if you always enter with the stop and target.

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

In CME/Globex it's called as Display Quantity

Display Quantity
https://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Qualifiers
Tag 210-MaxShow
https://www.cmegroup.com/confluence/display/EPICSANDBOX/iLink+-+Order+Qualifiers#iLink-OrderQualifiers-Tag210-MaxShow(DisplayQuantity)

So even you hit the bid/ask with your *mega* order (bigger than shown quantity) it may not move the market.

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Last Updated on November 25, 2019


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