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Liquidity & Order Fills


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Liquidity & Order Fills

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  #1 (permalink)
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Hi guys
I have a question regarding liquidity in the markets, and how many contracts could be traded (ie that would get filled without problems) market and non market hours.
Is there a certain level of liquidity thats needs to be reached for say 1 contract against the level for 100.
And what slippage can be expected for different market times & liquididty.

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  #3 (permalink)
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DarrenH View Post
Hi guys
I have a question regarding liquidity in the markets, and how many contracts could be traded (ie that would get filled without problems) market and non market hours.
Is there a certain level of liquidity thats needs to be reached for say 1 contract against the level for 100.
And what slippage can be expected for different market times & liquididty.

If you are talking about CL, I would say less than 10 contracts at once after hours otherwise you'll definitely see some slippage. It also depends on if you use iceberg orders or just throw out the whole lot on the market.

For cash session, I don't think you'll have any problem. If you are "big enough" to trade size that CL may not readily accept, then you should know the answer already

Slippage will happen more after hours just because it is less liquid. But even in a very liquid market, if the market is moving fast, as it often does with CL, you have to expect some slippage every now and then. Overall, I wouldn't be concerned about it personally with CL.

If you were trading QM, then slippage is a big concern because I count the spread as part of the slippage.

Mike

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  #4 (permalink)
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I agree with everything Mike said, but on the issue of slippage, it also depends on your trading style.
If you are scalping very small moves (ie low reward to risk), slippage is much more of a concern. Certainly a setback when slippage is equal to your expected first target.
I stick to trades that are 2/1 reward/risk or better, so slippage is rarely an issue for me.
And if you suspect you are entering a period of low liquidity, or high volatility - use limit orders.

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  #5 (permalink)
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Snoop View Post
I agree with everything Mike said, but on the issue of slippage, it also depends on your trading style.
If you are scalping very small moves (ie low reward to risk), slippage is much more of a concern. Certainly a setback when slippage is equal to your expected first target.
I stick to trades that are 2/1 reward/risk or better, so slippage is rarely an issue for me.
And if you suspect you are entering a period of low liquidity, or high volatility - use limit orders.

I also scalp the CL with 2/1 reward/risk, and always use limit orders, I cannot afford any slippage especially on entry, but slippage on stop losses are unavoidable sometimes, but more destructive to your bottom line. Even if you have a good reward risk ratio, slippage can be a big issue, imagine a trader scalping for 4 ticks, and gets 1 or 2 ticks slippage, that is 1/4 to 1/2 your profit!

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