Question on slippage - Experienced traders please help

victor123 · Oct 27, 2006

Hi there,

Can anyone please tell me how to roughly estimate the slippage in relation to the numbers of contracts traded ?

E.g if I have an e-mini SP system with $100 per trade and I am trading 100 contracts (market orders) what's the slippage I can expect ? Similarly, what slipage can I expect if I m trading 1000 contracts ?

I know slippage varies under different markets conditions, volumes etc. I only want an estimated average figure.

May be there is someone who trade big volumes and can give me some idea of how they estimate average slippage when determining no of contracts they want to trade using a system in a given market. FYI, my market is E-Mini SP.

Many Thanks for any help you can offer.

Kind Regards,
victor123

SOCRATES · Oct 27, 2006

victor123 said:
Hi there,

Can anyone please tell me how to roughly estimate the slippage in relation to the numbers of contracts traded ?

E.g if I have an e-mini SP system with $100 per trade and I am trading 100 contracts (market orders) what's the slippage I can expect ? Similarly, what slipage can I expect if I m trading 1000 contracts ?

I know slippage varies under different markets conditions, volumes etc. I only want an estimated average figure.

May be there is someone who trade big volumes and can give me some idea of how they estimate average slippage when determining no of contracts they want to trade using a system in a given market. FYI, my market is E-Mini SP.

Many Thanks for any help you can offer.

Kind Regards,
victor123

When you talk of slippage, you mean partial fills don't you ?

Slippage is something different to what you describe and out of context with your question.

laptop1 · Oct 27, 2006

I think victor123 means partial fills. $100 = 8 lots. is nothing trading ES. Even a 1000 lots it will take it with open arms.

I wouldn't worry about it.ES is a huge market

victor123 · Oct 27, 2006

SOCRATES said:
When you talk of slippage, you mean partial fills don't you ?

Slippage is something different to what you describe and out of context with your question.

No, I am not talking of partial fills. Let's say my system generates a sell market order (not limit order) when ES touches 1280. Since it's market order I would get filled anyway. If I traded one contract, I may get filled at 1279.75 (slippage 1 tick). On the other hand if I traded 100 contracts I may get filled at an average price of 1279.50 (slippage 2 tick) or may be less. This is what I meant by slippage.

I wanted some way of making a vague estimation. For e.g if I placed a market order with 1000 ES contract what could be my average slippage.

I know it's a difficult question. May be someone with experience can help.

Many Thanks,
victor123

peto · Oct 27, 2006

The es usually has over a 1000 contracts available on the first 2 levels (i.e. the inside bid + next level down, or inside ask + next level up). So a market order for 1000 should get a fill at the current price or one tick away from it; if trading the current front month contract during normal hours.

E.g if I have an e-mini SP system with $100 per trade

Don't understand your meaning here.
I'm assuming from your later post that by e-mini SP you are referring to the e-mini future of the S&P500 index, the ES. Do you mean that you are attempting to gain $100 per contract, i.e. 8 ticks or 2 full points?

victor123 · Oct 28, 2006

peto said:
The es usually has over a 1000 contracts available on the first 2 levels (i.e. the inside bid + next level down, or inside ask + next level up). So a market order for 1000 should get a fill at the current price or one tick away from it; if trading the current front month contract during normal hours.

Don't understand your meaning here.
I'm assuming from your later post that by e-mini SP you are referring to the e-mini future of the S&P500 index, the ES. Do you mean that you are attempting to gain $100 per contract, i.e. 8 ticks or 2 full points?

Petro,

Your reply did answer my question. Based on what you are saying I can expect an average slippage of 1 tick ($12.5 per contract). When I said a e-mini sytem with $100 per trade, I meant a system with average trade profit of $100 per trade per contract i.e 8 ticks or 2 full points.

Thanks for your help.

Views from other traders are welcome.

TWI · Oct 28, 2006

Most of the time you pay only the bid/ask spread on e-mini so if your system generates an order to buy at 1280 you pay 1280.25. There is a further consideration however and this is the speed at which orders are sent to market. When es is trading fast you can expect more slippage if you are using market orders. In testing I would use 2ticks per side. If you are generating $100/trade/contract then you need to assume you will net off $50/contract - costs.

SOCRATES · Oct 28, 2006

Very good advice...very wise..:cheesy:

Question on slippage - Experienced traders please help

victor123

Junior member

SOCRATES

Veteren member

laptop1

Experienced member

victor123

Junior member

peto

Established member

victor123

Junior member

TWI

Senior member

SOCRATES

Veteren member

Similar threads