While this is important, relevant etc., it still would not help the fact that ten contracts swept off the bid or offer on the Dax could mean ten levels of depth. The Dax is thin at best, testing it with several market orders will show you.
If you want to trade that size, I suggest you run the stops to get the best fills
I have entered numerous orders for 10 DAX contracts. My statistics show that entering on a stop or market order for 10 contracts you should expect about 2 ticks (1 point) of slippage on average, if it is during the day session. If a lot of stops do get run (around new highs and lows) the spread can widen a lot, although briefly. The solution is to place your stops wisely.
Limit orders will have zero slippage by construction, but it's possible to not get filled on your whole order.
For the way I trade 2 ticks is not a problem since the DAX moves around alot and I make over 50 ticks per trade on average. Unless you are scalping, I doubt it would be a problem for most day traders. If it is a problem then you don't have much of an edge and you will fail regardless.
After hours you would have more because the market does get thin.
I hope this will be more helpful to the original poster. Suggesting running the stops with 10 contracts is a silly statement (I presume it was a joke, just not very funny).
The following user says Thank You to piebald for this post:
Obviously if the market doesn't go to your limit price you won't get filled at all... but I presume you mean if it does go to your price: partial fills will happen but I suspect it won't be very frequent. I can't give a more definitive answer since I don't use limit orders on the DAX anymore. As a positive point: due the the 'thinness' of orders at any given price, you are likely to be at or near the front of the queue.
For market orders slippage will vary. Sometimes it will be zero, occasionally 6 ticks (3 points), but it's very unlikely be more than 10 ticks except immediately after a news announcement so using a market order to enter at those times should probably be avoided. I'd stick with an estimate of 2 ticks, on average which is all that's really important.
How long are you holding a trade for? How many ticks do you expect to average per trade?
Only holding a position for a few minutes usually. 8-10 ticks PT.
What do you think of this instruments potential for a decent mean reversion strategy? Have you tried or had any success with such a strategy?
Limit orders would probably work better here since the entries would be all counter trend hence only positive slippage?
Last edited by Bosch777; May 25th, 2015 at 11:59 AM.