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Slippage
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Slippage

  #1 (permalink)
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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?


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

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  #3 (permalink)
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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.

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So what is the effective spread you pay?


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

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  #5 (permalink)
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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 09:18 PM.
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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..

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