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GC Market Order Slippage
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GC Market Order Slippage

  #1 (permalink)
Elite Member
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GC Market Order Slippage

1. Hello, if I use market orders trading a live strategy on GC what kind of slippage can i expect trading 1 contract?
2. Or, if I were to use limit orders instead, approximately how often would they not get filled?

Thanks


Last edited by SuperBliss; July 12th, 2017 at 11:40 AM. Reason: corrected mistake
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  #3 (permalink)
Market Wizard
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If you trade during RTH only and excluding news times, you will not have any problems regarding slippage / non-fills.

Around news slippage naturally can be fairly large. How large? That depends on the DOM that still
exists at the time of your (intended) trade. So it would be rather naive to expect e.g. normal GC fills
around non-farm payrolls.

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  #4 (permalink)
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1. The bid-ask spread on GC is usually just 1 tick. One could assume 1 tick of slippage per market order.
2. Can't comment on this one, haven't tried limit orders much on GC.

As choke35 has noted, you can get severe slippage on market orders if they are triggered during a news event.

Personally, I have seen one of my market orders get 14 ticks of slippage in the middle of day on GC trading only 1 contract. I don't recall whether it was a scheduled news event or not.

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SuperBliss View Post
1. Hello, if I use market orders trading a live strategy on GC what kind of slippage can i expect trading 1 contract?
2. Or, if I were to use limit orders instead, approximately how often would they not get filled?

Thanks

It really depends on how fast the market is and the bid -ask at that moment. Most of the times market order will get filled at the avg of 1 tick spread between the bid and ask, however, there are times before reports, right after reports or when market breaks new highs/ new lows and stops get hit when you will experience larger slippage than you anticipate.

i have seen slippage of 2-3$ on FOMC days, economic reports or when market moves fast with large volume.

PM with any questions about Cannon Trading (800) 454-9572 (310) 859-9572. Trading commodity futures, forex and options involves substantial risk of loss. The recommendations contained in this post are of opinion only and do not guarantee any profits. These are risky markets and only risk capital should be used. Past performance is not necessarily indicative of future results.
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