NexusFi: Find Your Edge


Home Menu

 





Slippage TF with Market Orders


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one Daytrader999 with 2 posts (2 thanks)
    2. looks_two TraderMaze with 2 posts (0 thanks)
    3. looks_3 Quick Summary with 1 posts (0 thanks)
    4. looks_4 kevinkdog with 1 posts (1 thanks)
    1. trending_up 2,481 views
    2. thumb_up 3 thanks given
    3. group 1 followers
    1. forum 5 posts
    2. attach_file 0 attachments




 
Search this Thread

Slippage TF with Market Orders

  #1 (permalink)
TraderMaze
Nuremberg, Germany
 
Posts: 10 since Oct 2013
Thanks Given: 6
Thanks Received: 1

Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
GFIs1 1 DAX trade per day journal
18 thanks
The Program
18 thanks
  #3 (permalink)
 
Daytrader999's Avatar
 Daytrader999 
Ilsede, Germany
Site Moderator
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Rithmic / CQG / Ninja Trader Brokerage
Trading: NQ
Posts: 1,525 since Sep 2011
Thanks Given: 2,067
Thanks Received: 2,316



TraderMaze View Post
Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

Hi @TraderMaze and welcome to futures.io (formerly BMT) !

On the Russel I usually get a maximum of 1 tick slippage on entry and most often no slippage on exit.

But of course this depends on market conditions such as volatility and liquidity.
IMO calculating with a slippage of 2 ticks RT should be fine.

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
Reply With Quote
Thanked by:
  #4 (permalink)
TraderMaze
Nuremberg, Germany
 
Posts: 10 since Oct 2013
Thanks Given: 6
Thanks Received: 1


Daytrader999 View Post
Hi @TraderMaze and welcome to futures.io (formerly BMT) !

On the Russel I usually get a maximum of 1 tick slippage on entry and most often no slippage on exit.

But of course this depends on market conditions such as volatility and liquidity.
IMO calculating with a slippage of 2 ticks RT should be fine.


Thanks Daytrader999

Have read in the forum that you use the VPS from Sam028.
So i wanted to know if your Slippage on the TF was with or without the VPS?

And you still use the VPS? If so, the slippage was a lot smaller by using the VPS?
I’m also from Germany and have at Speedtest.net a ping of 133ms to Chicago.

Thanks,
TraderMaze

Reply With Quote
  #5 (permalink)
 
Daytrader999's Avatar
 Daytrader999 
Ilsede, Germany
Site Moderator
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Rithmic / CQG / Ninja Trader Brokerage
Trading: NQ
Posts: 1,525 since Sep 2011
Thanks Given: 2,067
Thanks Received: 2,316


TraderMaze View Post
Have read in the forum that you use the VPS from Sam028.
So i wanted to know if your Slippage on the TF was with or without the VPS?

And you still use the VPS? If so, the slippage was a lot smaller by using the VPS?
I’m also from Germany and have at Speedtest.net a ping of 133ms to Chicago.

Thanks,
TraderMaze

Well, the slippage on TF mentioned above occurred on my home trading PC.

Yes, I still use one of Sam's VPS, it's mainly used for trading CL and NQ.
From my VPS there is a latency of about 1-2 ms and from my trading PC at home the latency sometimes is even worse than yours.

But bottom line, the slippage should be less when trading from a co-located VPS, but it does not necessarily has to be that way because this depends on the various factors like market condition, liquidity etc. as well.

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
Reply With Quote
Thanked by:
  #6 (permalink)
 kevinkdog   is a Vendor
 
Posts: 3,645 since Jul 2012
Thanks Given: 1,890
Thanks Received: 7,338


TraderMaze View Post
Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

It depends a lot on when the order is placed. I have gotten 4-5 ticks of slippage on market orders placed right at the open at 9:30 AM.

I would say 2 ticks slippage per round turn is probably a good number to use. It might be a little conservative - your results might be better - but I think it is always better to err on the side of caution.

Follow me on Twitter Reply With Quote
Thanked by:




Last Updated on November 4, 2013


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts