Hey guys was wondering for E Mini, if you submit a market order what is the expected slippage for 1 to 10 contracts from your signal price/time? Is it advisable to use market orders for such a liquid instrument as E Mini?
Under normal conditions during regular trading hours, the bid/ask spread on the E-Mini S&P (ES) on Globex is one tick. If you place a market order to buy 10 contracts you will be filled at the current offer and you will be filled at the current bid if you sell at the market unless the bid/ask spread it self moves as you place the order and that normally moves by one tick at a time. You can usually achieve the desired results by using a buy limit at the current offer or sell limit at the current bid if you don't want any slippage and can afford to wait or miss the trade if the market moves. The problem is that when there is news or an abnormal event such as the April 23rd false rumor there is no way to predict how much slippage there will be if you need to trade while the market is moving fast.