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Slippage doesn’t seem to be a very hot topic around here.
Many (most?) of the results returned after searching these forums for “slippage” are threads that are now more than 5+ years old.
Recent comments elsewhere say…
“Expect a minimum of 1-2 ticks slippage on each contract for every trade on ES/NQ.”
“1-2 ticks slippage when the market is slow, 4+ during a fast move on ES. Double that amount on NQ.”
Sure, these comments may have made based on the actual experiences of the people that wrote them. However, there's a big discrepancy between these and what I've read on this site. It wouldn't surprise me if the people writing these things aren't even traders.
The mods on this site do an EXCELLENT job. The quality of user contributions here is levels above other public forums. Those who come here making bogus/outrageous claims get checked. For these reasons and many others, I see this forum as a more reliable source of information.
Having an idea of what normal/average is in 2023 and comparing this normal to the past/future will be helpful to traders with less experience trading futures and/or those that want to dip their toes in, but want/need to know a bit more of what to expect.
I’ll leave a few starter questions below to make it easier/faster for people to contribute.
Of course, if you’ve had any experiences with slippage this year (and/or in years past) that stand out to you, please feel to share them here as well.
……
1. How much experience do you have trading futures?
2. What product/size do you trade? (Re below)
3. If you're sharing experience(s) with slippage in a “Funded account”, which stage of the funding process were you in? (were you trading on the Eval portion or was it after earning the Funded account)
4. How often do you experience slippage?
5. What’s the most slippage you’ve ever experienced?
6. How many ticks would you consider to be normal slippage? (you see it on your statement, but don’t bother looking twice at it)
7. How many ticks would you consider to be a lot of slippage? (you see it on your statement and its enough to investigate a bit more & look for a possible error somewhere along the way)
8. How many ticks of slippage would it take for you to say “WTF, this is absurd, surely this is some kind of error. I’m calling my broker/looking for a new one/writing a bad review/filing a report with CFTC)
9. Any other thoughts/comments/advice Re slippage on futures you’d like to share?
Slippage
In the day when one called their broker and broker called the floor, just the process was slippage unless one had their stops in already. Limit up or down days were more prevalent. Three days limit down just because Oprah mentioned mad cow disease. Then 4 days limit up. The chickens went south in the heat, did in a day. Oranges froze and every thing went south and especially when it happened on a weekend.
We still have those gaps if one only trades during floor trading hours. All in all I think gasps are not as prevalent with technology has help eliminate slippage. More control over weather by livestock housing, not growing eighty bushel corn, South America has entered the scene for production. China producing far more foot themselves. Irrigation more abundantly used. Lots of things affected the markets and for the good.
E electronic trading is pretty slippage free in markets with volume or trading mega contacts, but that is really expected by one's trading method to control that issue. Once in a while the market moves very fast and of course not your most favored position but not really slippage either.
I Pecos think slippage is over stated these days. For brokers often took a hunk in the day by skimming the trade a bit. Today a new reader don't a contract or two will find very little slippage or gaps in the market with election trading.
I see people routinely UNDERstating slippage (especially sim trading scammers on YT and Twitter).
Maybe I define slippage differently, but I compare the hypothetical fill from my strategy backtest engine, and compare it to my actual fill. This is for any market order (of course stop orders are market orders when they are sent to the exchange).
I get slippage of some sort in every market, there is no market that is slippage free. It varies from a tick or two on markets like ES to multiple ticks on markets like HO and KC.
I know your question is about ES and NQ, but I have had as much as $2000+ slippage on a single contract (Gold, on MLK weekend Sunday night, a few years ago). See chart below.
I just look at it as a cost of doing business, and I include slippage costs in my calculations - always.
Something additional to add about slippage. I was trading the ES in 2010. I would argue there was even less slippage back then. The order book routinely had 1000 contracts on each price level of the bid/ask. Today there is only 10-20% of the resting limit orders compared to back then. Volatility was about the same in a percentage point of view but in terms of ticks then ranges back then were definitely less than today as well.
Do any of you have theories about why the number of resting limit orders in the order book has decreased in the last 10 years? Do you think it has something to do with the number of ticks the market moves now versus back then?
