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Comparing Slippage in Different Futures
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Comparing Slippage in Different Futures

  #1 (permalink)
Trading Apprentice
Dallas TX
 
Futures Experience: Beginner
Platform: ToS, Sierra Chart
Favorite Futures: ES
 
Posts: 3 since Aug 2017
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Comparing Slippage in Different Futures

Hi all. I am trying to determine what futures symbols reliably fill market orders with low 1-2 tick slippage like the ES. Symbols that are appropriate for someone who scalps for 6-10 ticks.

I am working on a strategy in which I want to monitor as many markets as possible for my signals, and I donít know how other futures markets compare to the ES as far as slippage goes. I am only aiming for a max of 10 ticks on most trades, so the slippage on the losses will be crucial.

Watching the L2 data I see that many futures trade with spreads of 1-2 ticks, despite much, much lower volume than the ES, which makes me wonder if they are equally reliable despite the much lower trading volume.

NQ, TF, CL, YM, NG, HO, RB, GC, SI, ZN, ZF, ZB, 6E, 6J, 6B, ZC, ZS. Would these be good markets to scalp on?

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
London UK
 
Futures Experience: Beginner
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Catalyst View Post
Hi all. I am trying to determine what futures symbols reliably fill market orders with low 1-2 tick slippage like the ES. Symbols that are appropriate for someone who scalps for 6-10 ticks.

I am working on a strategy in which I want to monitor as many markets as possible for my signals, and I don’t know how other futures markets compare to the ES as far as slippage goes. I am only aiming for a max of 10 ticks on most trades, so the slippage on the losses will be crucial.

Watching the L2 data I see that many futures trade with spreads of 1-2 ticks, despite much, much lower volume than the ES, which makes me wonder if they are equally reliable despite the much lower trading volume.

NQ, TF, CL, YM, NG, HO, RB, GC, SI, ZN, ZF, ZB, 6E, 6J, 6B, ZC, ZS. Would these be good markets to scalp on?

In general, as far as retail trading goes, I'd say that slippage is a consequence of low liquidity. The lower liquidity an instrument has, the more chances of slippage.

Thinner markets such as CL or GC tend to have more slippage. This behaviour can be exacerbated by time where a scheduled data release takes place or certain major news events are announced.

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  #4 (permalink)
~R!$K~
Volcano, HI
 
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Most occurrence of slippage I've experienced is NG and YM, pretty often getting 1 tick slips with the occasional 3-4. 6e before the increment change was fairly reliable, a few occasions with 1 tick slippage, now tho its pretty often. My worst was about 6 ticks on 6e. I normally stay on the sidelines until a couple of minutes after major releases like FOMC, NFP, and inventory reports those days can be nuts.

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  #5 (permalink)
Trading Apprentice
Dallas TX
 
Futures Experience: Beginner
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dakine View Post
Most occurrence of slippage I've experienced is NG and YM, pretty often getting 1 tick slips with the occasional 3-4. 6e before the increment change was fairly reliable, a few occasions with 1 tick slippage, now tho its pretty often. My worst was about 6 ticks on 6e. I normally stay on the sidelines until a couple of minutes after major releases like FOMC, NFP, and inventory reports those days can be nuts.

The YM is middle of the pack in terms of volume on CME futures, so if 1 tick is the common slippage there, that make me more confident that I can put together a list of at least 10 symbols to trade. Of the symbols I listed above that I am considering, the only ones that have less volume than YM are 6B and SI.

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