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Slippage and spread?
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Slippage and spread?

  #1 (permalink)
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Slippage and spread?

Spread: I understand what spread means in forex but what does it mean in futures? In forex, usually before and during a news event, the spread widens and you pay more to play (never knowing exactly how much until after you have entered) but with futures, my round trip fee is fixed so how does spread come into it?

Slippage: If I go long on CL with a sell stop limit below for my stop, my order will be lifted at that price whereas a normal stop order will most likely suffer some slippage on a thin market. How wrong have I got it?

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  #3 (permalink)
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Grantx View Post
Spread: I understand what spread means in forex but what does it mean in futures? In forex, usually before and during a news event, the spread widens and you pay more to play (never knowing exactly how much until after you have entered) but with futures, my round trip fee is fixed so how does spread come into it?

Slippage: If I go long on CL with a sell stop limit below for my stop, my order will be lifted at that price whereas a normal stop order will most likely suffer some slippage on a thin market. How wrong have I got it?

In futures, spread simply means the distance/difference in ticks between where you can buy and where you can sell.

As you say, round trip cost is fixed in futures. The fact that - in most markets, most of the time - the spread is zero (you can say either zero ticks or 1 tick depending on how you look at it) is thanks to these products being highly liquid. However during a data release liquidity dries up so usually the spread widens in a fashion not dissimilar to Forex. For instance if you watch 6E 30-15 seconds before NFP data comes out, the spread can widen significantly. Occasionally you will see the spread widen considerably on CL before EIA release.


As for the slippage question I don't have an answer I am 100% sure about.

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xplorer View Post
In futures, spread simply means the distance/difference in ticks between where you can buy and where you can sell.

As you say, round trip cost is fixed in futures. The fact that - in most markets, most of the time - the spread is zero (you can say either zero ticks or 1 tick depending on how you look at it) is thanks to these products being highly liquid. However during a data release liquidity dries up so usually the spread widens in a fashion not dissimilar to Forex. For instance if you watch 6E 30-15 seconds before NFP data comes out, the spread can widen significantly. Occasionally you will see the spread widen considerably on CL before EIA release.


As for the slippage question I don't have an answer I am 100% sure about.

Ok, so lets say that we have an extreme condition and there is a 30 tick spread, If I had to drop an order somewhere in between that spread and be a lone minion with a single contract just sitting in the middle of nowhere, does that mean it will get lifted at that price by the imminent rampage?

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Grantx View Post
Ok, so lets say that we have an extreme condition and there is a 30 tick spread, If I had to drop an order somewhere in between that spread and be a lone minion with a single contract just sitting in the middle of nowhere, does that mean it will get lifted at that price by the imminent rampage?


Limit order or market order?

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xplorer View Post
Limit order or market order?

Purely talking limit orders here. Orders that are registered and waiting on the exchange. And thats what I meant with the original question, limit orders for stops instead of the standard market order.

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Grantx View Post
Purely talking limit orders here. Orders that are registered and waiting on the exchange. And thats what I meant with the original question, limit orders for stops instead of the standard market order.

So a limit order by definition guarantees that you get filled at the price you specified, but it does not guarantee a fill.

However in the case of a stop, you can't (for obvious reasons) put a simple limit order to get out.


Again, I am not 100% sure of the mechanism of the stop limit order. I know that when the level gets touched, the stop is automatically converted into a limit order but I am not sure of the implications.

For instance, I don't know if you risk that the stop for whatever reason does not get filled and remains as a limit order while price keeps going against you.

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xplorer View Post
For instance, I don't know if you risk that the stop for whatever reason does not get filled and remains as a limit order while price keeps going against you.

Ill stop being lazy and go and read the ninja help file on this. I think you are right, there is just no way to guarantee a stop no matter how much I want that to be otherwise.

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  #9 (permalink)
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A "Stop Limit" would be the most horrible you can do. Only a fast internet-connection could help a bit, u should always use the fastest available internet.

If u trade fast moving instruments like Gold or Crude, it can happen, that u get more slippage, with more liquid instruments like ES or ZN, slippage should not be a problem, but slippage is part of the game.

Sorry, this answer was for another post (this guys were talking about Stops)


Last edited by tr8er; April 6th, 2017 at 03:37 PM.
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