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Slippage w/ one ES contract?
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Slippage w/ one ES contract?

  #1 (permalink)
Trading Apprentice
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Favorite Futures: Emini ES
 
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Slippage w/ one ES contract?

Hi guys,
New to the forum. Been backtesting strategies for quite a while now and going to work with Tradestation to build out my algo.
I've read alot about slippage and many people have said it also has to do with the size of your order.

I will be trading 1 contract to start. To see how my system works. The second my account trades I immediately put a PT and SL order out.

Is their typically alot of slippage for 1 ES e-mini?

Thanks,
ptt

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  #2 (permalink)
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  #3 (permalink)
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The ES is one of the most liquid futures contracts, meaning that you will hardly ever encounter slippage if you are using a limit order on 1 contract. Hell, even a limit order on 10 contracts probably won't encounter a strategy-breaking amount of slippage. I wouldn't worry about it for your purposes.

However, I would worry about the simple fact that you aren't familiar with the ES enough to know that slippage is low. My guess is--and please correct me if I'm wrong--that you are not only new to BMT, but new to futures trading in general. I'll offer my two cents:

Scrap your algo. On this forum alone (if you pay to become an Elite Member) there are plenty of algos that you can test drive, yet the vast majority of traders are still discretionary. Instead, spend the time sitting in front of your computer experiencing the market. Look into volume profiles and market footprints, watch the webinars, and just spend the time familiarizing yourself with the ES. The time you spend plopped down in front of a screen will be much more profitable in the long run than an algo will.

Cheers, and watch out for Fed Wed...

Lax99

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  #4 (permalink)
Normal Wizard
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ptt196 View Post
Hi guys,
New to the forum. Been backtesting strategies for quite a while now and going to work with Tradestation to build out my algo.
I've read alot about slippage and many people have said it also has to do with the size of your order.

I will be trading 1 contract to start. To see how my system works. The second my account trades I immediately put a PT and SL order out.

Is their typically alot of slippage for 1 ES e-mini?

Thanks,
ptt

you will only get slippage if you have a slow connection and are getting in with market orders, not due to liquidity. With the ES you should be able to buy 100-200 contracts at one price during US hours, I dont really trade the ES but I did some sim trading back when the SNP was real volatile following the spike down and it wasnt uncommon to see 500 contracts trade at one price and sometimes 1000+ when there was an iceberg order. I would advise you to gain a solid understanding of how markets move (and this is quite subjective, the way people perceive it), and then from that methodology and understanding build an algo from that. Then again, if your algo is profitable over several markets over different years backtesting and gives a good risk-adjust return, sounds like a solid system.

Understanding yourself is just as important as understanding markets.
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  #5 (permalink)
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Very Good Advice


lax99 View Post
The ES is one of the most liquid futures contracts, meaning that you will hardly ever encounter slippage if you are using a limit order on 1 contract. Hell, even a limit order on 10 contracts probably won't encounter a strategy-breaking amount of slippage. I wouldn't worry about it for your purposes.

However, I would worry about the simple fact that you aren't familiar with the ES enough to know that slippage is low. My guess is--and please correct me if I'm wrong--that you are not only new to BMT, but new to futures trading in general. I'll offer my two cents:

Scrap your algo. On this forum alone (if you pay to become an Elite Member) there are plenty of algos that you can test drive, yet the vast majority of traders are still discretionary. Instead, spend the time sitting in front of your computer experiencing the market. Look into volume profiles and market footprints, watch the webinars, and just spend the time familiarizing yourself with the ES. The time you spend plopped down in front of a screen will be much more profitable in the long run than an algo will.

Very Good Advice.... @ptt196, if you are starting out, spend some time on the forum.

Math. A gateway drug to reality.
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  #6 (permalink)
Trading Apprentice
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Thanks for the advice guys. I figured with 1-2 contracts slippage would be minimal. Been reading alot on the forums. I'll never be a discretionary trader though. Don't have the time to put in.

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  #7 (permalink)
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lax99 View Post
The ES is one of the most liquid futures contracts, meaning that you will hardly ever encounter slippage if you are using a limit order on 1 contract. Hell, even a limit order on 10 contracts probably won't encounter a strategy-breaking amount of slippage. I wouldn't worry about it for your purposes.


Lax99

Are you implying you sometimes get negative slippage trading limit orders? That should never happen. The only kind of slippage you'll ever see with limit orders is possibly positive slippage in your favor.

Can you explain? Maybe I misunderstood your statement.



Regarding your statement "The time you spend plopped down in front of a screen will be much more profitable in the long run than an algo will." With all due respect, my experience is completely opposite.

In the end, you can easily fail with algos, just as you can with discretionary trading. Succeeding with either is exceedingly difficult.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread

Last edited by kevinkdog; December 15th, 2015 at 09:20 AM.
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  #8 (permalink)
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ptt196 View Post
Thanks for the advice guys. I figured with 1-2 contracts slippage would be minimal. Been reading alot on the forums. I'll never be a discretionary trader though. Don't have the time to put in.


If you want to be an algorithmic trader, don't expect the time commitment to be any less than it is for a discretionary trader. Instead of screen watching, you'll be writing strategy after strategy, and testing them all.

In other words, all trading requires a significant time commitment. The people who try to shortcut it usually lose.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #9 (permalink)
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kevinkdog View Post
Are you implying you sometimes get negative slippage trading limit orders? That should never happen. The only kind of slippage you'll ever see with limit orders is possibly positive slippage in your favor.

Can you explain? Maybe I misunderstood your statement.



Regarding your statement "The time you spend plopped down in front of a screen will be much more profitable in the long run than an algo will." With all due respect, my experience is completely opposite.

In the end, you can easily fail with algos, just as you can with discretionary trading. Succeeding with either is exceedingly difficult.

Of course, a limit order by nature prevents the trader from negative slippage. My apologies if my wording was confusing. I simply meant that the slippage on a ten lot, placed at the market as a stop or target, won't be something crazy like five handles that could render an intraday algo useless if the above trader is looking for 3-10 handles per trade.

In regards to the "time plopped..." comment, I agree that a profitable algo can be just as or even more profitable than the best discretionary trader. My comment was based on the assumption that ptt196 is new to trading and is new to algo development. As such, I'd argue that he or she needs to understand the market before telling a computer how to trade it. I've found that understanding the market can only come from experiencing it throughout the day, which in the end requires screen time before you implement an algo.

In the end my comment was moreso a warning than anything else.

Profitable algo development is absolutely possible. But do you, ptt196, think that you know the market well enough to do this?

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  #10 (permalink)
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lax99 View Post
Of course, a limit order by nature prevents the trader from negative slippage. My apologies if my wording was confusing. I simply meant that the slippage on a ten lot, placed at the market as a stop or target, won't be something crazy like five handles that could render an intraday algo useless if the above trader is looking for 3-10 handles per trade.

In regards to the "time plopped..." comment, I agree that a profitable algo can be just as or even more profitable than the best discretionary trader. My comment was based on the assumption that ptt196 is new to trading and is new to algo development. As such, I'd argue that he or she needs to understand the market before telling a computer how to trade it. I've found that understanding the market can only come from experiencing it throughout the day, which in the end requires screen time before you implement an algo.

In the end my comment was moreso a warning than anything else.

Profitable algo development is absolutely possible. But do you, ptt196, think that you know the market well enough to do this?

Gotcha, understood.

For building algos, market knowledge/experience can help, but I've seen plenty built without any specific market knowledge. It probably will take more time, the less experience one has.

Cheers!

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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