Slippage - Emini Index Futures Trading | futures.io
futures.io futures trading


Slippage
Started: by Raider Views / Replies:231 / 5
Last Reply: Attachments:0

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • 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, and we will never resell your private information.

-- Big Mike

Reply
 
Thread Tools Search this Thread
 

Slippage

  #1 (permalink)
Elite Member
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader & Jigsaw
Broker/Data: Rithmic
Favorite Futures: ZB & ES
 
Posts: 57 since Dec 2016
Thanks: 45 given, 29 received

Slippage

So I recently went live, and I've realized I've been getting a lot of slippage (I think). If you're trade ES during a liquid period, then when you limit into a trade and market order out of it (click close on NT) shouldn't you be out at market or do you effectively pay spread? For example if enter at 2000.00 and then it goes up to 2000.25, Click close, then the trade is closed at zero profit. It's happened so often I'm not sure if it's slippage or if you pay spread exiting on a market order?


Sent from my iPhone using futures.io

Reply With Quote
 
  #2 (permalink)
Market Gizzard
san fransisco, CA/USA
 
Futures Experience: Beginner
Platform: SC
Broker/Data: Stage 5 Trading/Gain
Favorite Futures: CL, ES
 
jackbravo's Avatar
 
Posts: 868 since Jun 2014
Thanks: 1,823 given, 1,299 received
Forum Reputation: Legendary

You pay spread in both directions, even with a limit order. Limit buy fills when ask price trades down to your order.

Sent using the futures.io mobile app

Be peerless
Reply With Quote
 
  #3 (permalink)
Elite Member
Canada
 
Futures Experience: Intermediate
Platform: NinjaTrader & Jigsaw
Broker/Data: Rithmic
Favorite Futures: ZB & ES
 
Posts: 57 since Dec 2016
Thanks: 45 given, 29 received



jackbravo View Post
You pay spread in both directions, even with a limit order. Limit buy fills when ask price trades down to your order.

Sent using the futures.io mobile app



So what is the effective spread you pay?


Sent from my iPhone using futures.io

Reply With Quote
 
  #4 (permalink)
Market Gizzard
san fransisco, CA/USA
 
Futures Experience: Beginner
Platform: SC
Broker/Data: Stage 5 Trading/Gain
Favorite Futures: CL, ES
 
jackbravo's Avatar
 
Posts: 868 since Jun 2014
Thanks: 1,823 given, 1,299 received
Forum Reputation: Legendary

Unless you're the first in line or something, during liquid hours you typically pay 1 tick in each direction, so $25 for ES.

Sent using the futures.io mobile app

Be peerless
Reply With Quote
The following 2 users say Thank You to jackbravo for this post:
 
  #5 (permalink)
 Vendor: www.orderflowdashpro.com 
North Carolina
 
Futures Experience: Beginner
Platform: NinjaTrader, Tradestation
Favorite Futures: es
 
Posts: 117 since Nov 2011
Thanks: 21 given, 117 received

Futures Edge on FIO

Which time slot for our live webinar events works best for you?

 

Quoting 
You pay spread in both directions, even with a limit order. Limit buy fills when ask price trades down to your order.

Eh, that doesn't sound right to me. If you are able to buy with a limit order then you essentially have a chance to scratch the trade for transaction cost and if you sell with a limit (assuming long) you'll gain 1 tick on your trade. It does not have to trade through a level to get filled. Beyond that you're matching against another trader who essentially payed to cross the spread. So, unless the market is crossed, the bid=ask then that won't be the case.

For clarification, if you buy the bid and the bid holds and sell at market then you'll scratch the trade and only be out transaction costs (commish+exchange fees). If you sold the ask at limit then you'd capture the spread minus your transaction costs. The spread is determined the tick value. In the ES, it's $12.50. So you'd capture $12.50-commision-exchange fees. If you buy the bid and sell at market and the bid doesn't hold or the price moves, you will risk losing 1 tick or possibly more.


Last edited by tpredictor; January 20th, 2017 at 10:18 PM.
Reply With Quote
 
  #6 (permalink)
Elite Member
knoxville tennessee usa
 
Futures Experience: Advanced
Platform: nijia trader
Broker/Data: A.M.P. I.Q. ....C.Q.G.
Favorite Futures: ym
 
Posts: 287 since Mar 2012
Thanks: 76 given, 103 received

slippage on es

i had problems with it too..i went to the ym ..it was less it trades in 10s for one reason..i moved to bonds 2 years ago ..30 yr,,it seems to have less than any thing i have seen..

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

Reply



futures io > > > > Slippage

Thread Tools Search this Thread
Search this Thread:

Advanced Search



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

Al Brooks: When A Good Trade Goes Bad (Risk and Probabilities)

Elite only

Ran Aroussi: Quant Trading with Python

Elite only

NinjaTrader 8: Tips and Tricks (part 2)

Mar 2

An Afternoon With FIO member @michaelemoore

Elite only

Jigsaw Trading: Keys to successfully trading the open

Mar 9

Macro view: Trump Market Risk w/Piers Curran @ Amplify Trading

Elite only

Reading the Psychology of the Market w/Brett Steenbarger & Trading Technologies

Elite only

Hybrid Machine Learning (R and TradeStation) w/Murray Ruggiero

Elite only

Spring Grains Outlook w/Sean Lusk @ Walsh Trading

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
EURUSD Slippage strando7 Currency Futures 7 November 15th, 2014 11:18 AM
a question about slippage johnnyalpha8 Emini Index Futures Trading 7 January 15th, 2013 02:13 PM
Eliminating slippage patbateman NinjaTrader 1 September 30th, 2012 04:33 AM
Slippage? jason Brokers and Data Feeds 5 May 4th, 2011 01:38 AM
slippage sam028 Terms (Glossary) 0 July 5th, 2010 12:00 PM


All times are GMT -4. The time now is 11:08 AM.

no new posts
Page generated 2017-02-22 in 0.08 seconds with 19 queries on phoenix via your IP 54.205.106.138