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Assuming it's a stop limit, there will be no slippage. If you mean a buy stop or a sell stop to open a position, and you are using a market order, then it will be at the offer so when compared to the last that is usually 1 tick slippage.
Thanks Mike, I've often heard the myth 'there is no slippage on the ES'. 1 tick sounds more realistic. Does that '1 tick' figure apply to stop loss on the DX too? I always figured it might be more due to the lower volume.
In lieu of a regular buy stop or a sell stop you can always use a marketable limit order which can only be placed via the DOM. This way you get the same benefit of a limit order while actually putting a market order.
'A marketable limit order'? I'm using Infinity AT, not sure if I have that option, I'll check with my broker.
I'm back testing a few systems for daytrading at the moment, a few commercial and a few of my own ideas. I can't seem to find anything that works ); What do you think about the DX? If I was using a regular stop loss order, do you think allowing just 1 tick for slippage is enough? Or is ２ more realistic?
If you are talking about a protective stop order that closes you out of a position, then you never want to use a stop limit order since your order may not be filled in a fast moving market. Always use a stop market. On ES trading live I may get slipped 1 tick out of every 50-100 trades, just estimating. Otherwise, no slippage in this market. Defining slippage as per the usual: if my stop is at X and I get filled at X, then no slippage. This is almost always the way it works in ES, though 1 tick slippage under fast conditions is possible (and certainly so during the pre-news liquidity vacuum at NFP, etc.).
A far as a marketable limit, trend is talking about placing a sell limit at the best bid or a buy limit at the best offer. It is in lieu of clicking "buy market" and fills immediately but guarantees that you will not get slippage in a fast moving market (but if too slow, you will not get filled either).
To be honest, you shouldn't be too concerned with slippage if you do not know how to trade yet. It is a minor consideration in liquid markets and even for thin markets it should not take too much of your focus.
