a question about slippage - Emini Index Futures Trading | futures io social day trading
futures io futures trading


a question about slippage
Updated: Views / Replies:2,728 / 7
Created: by johnnyalpha8 Attachments:0

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 100,000 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
 
Thread Tools Search this Thread
 

a question about slippage

  #1 (permalink)
Trading Apprentice
Osaka Japan
 
Futures Experience: Beginner
Platform: Infinity AT
Favorite Futures: ES
 
Posts: 3 since Jan 2013
Thanks: 0 given, 0 received

a question about slippage

How much slippage can I expect to see with a stop loss order (single contract) with the ES and DX during the day session (9.30 to 16.15?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,553 since Jun 2009
Thanks: 29,626 given, 85,046 received



johnnyalpha8 View Post
How much slippage can I expect to see with a stop loss order (single contract) with the ES and DX during the day session (9.30 to 16.15?

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.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #4 (permalink)
Trading Apprentice
Osaka Japan
 
Futures Experience: Beginner
Platform: Infinity AT
Favorite Futures: ES
 
Posts: 3 since Jan 2013
Thanks: 0 given, 0 received

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.

Reply With Quote
 
  #5 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,754 since Oct 2009
Thanks: 3,128 given, 4,636 received

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.


Big Mike View Post
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.

Mike


Reply With Quote
 
  #6 (permalink)
Trading Apprentice
Osaka Japan
 
Futures Experience: Beginner
Platform: Infinity AT
Favorite Futures: ES
 
Posts: 3 since Jan 2013
Thanks: 0 given, 0 received

'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?

Reply With Quote
 
  #7 (permalink)
Market Wizard
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,754 since Oct 2009
Thanks: 3,128 given, 4,636 received

As a rule of thumb, if you want to capture 4 ticks then consider you need a move of at least 6 ticks.


johnnyalpha8 View Post
'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?


Reply With Quote
 
  #8 (permalink)
Elite Member
Georgia, US
 
Futures Experience: None
Platform: Various
Favorite Futures: Various
 
josh's Avatar
 
Posts: 4,947 since Jan 2011
Thanks: 5,221 given, 11,617 received

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.

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

Reply



futures io > > > > a question about slippage

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

September Journal Challenge (sponsored by TopstepTrader)

September

Free Elite Membership: Twitter Tuesday and Facebook Friday!

Tue & Fri
 

Trading with Python: Using Machine Learning w/Ran Aroussi [12:30PM ET]

Elite only

TopstepTrader (TBD)

Sep 25

RandBots (TBD)

Sep 27

Anthony Drager (TBD)

Oct 4
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Eliminating slippage patbateman NinjaTrader 1 September 30th, 2012 03:33 AM
Slippage/Partial fills question JS12 Traders Hideout 8 February 14th, 2012 10:57 AM
Hidden cost vs. slippage mengelbrecht Reviews of Brokers and Data Feeds 12 August 3rd, 2011 09:03 AM
Slippage? jason Reviews of Brokers and Data Feeds 5 May 4th, 2011 12:38 AM
slippage sam028 Terms (Glossary) 0 July 5th, 2010 11:00 AM


All times are GMT -4. The time now is 04:48 PM. (this page content is cached, log in for real-time version)

Copyright © 2018 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 2018-09-17 in 0.15 seconds with 15 queries on phoenix