Why so much slippage on limit & stops orders?

May 25th, 2023, 11:44 AM

Hi,
I am just wondering how the future prices have such slippage on limit or stop orders. Makes me wonder if they are using old computers. Do they make any profit from this?
Just curious,
Tradersword

May 27th, 2023, 06:39 PM

Hey Tradersword,

Stop orders can have slippage because they usually are market orders, so it really depends on how liquid the product is you are trading and your size.
Limit orders have no slippage, could you clarify what you mean with that?

Tradersword

Hi,
I am just wondering how the future prices have such slippage on limit or stop orders. Makes me wonder if they are using old computers. Do they make any profit from this?
Just curious,
Tradersword

June 2nd, 2023, 10:10 AM

I am not OP, but I have a specific question on slippage in the ES, NQ and YM.

I am backtesting a strategy that requires me to enter trades, usually in all three products, immediately before market open (like 10 seconds before). I'm aware that, second only to FOMC releases, this is probably the most volatile moment to be entering the futures markets. And, of course, I cannot account for slippage while back-testing.

So my question is, during big opening moves, what is the most slippage you have seen (if you trade pre-market into the open) on stop orders on 3 lots in these three markets. I'm looking for worst-case scenario stuff, and realize ES will probably be minimal but more concerned with NQ and YM.

Thanks

JW

Why so much slippage on limit & stops orders?

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Why so much slippage on limit & stops orders?