Automated Trading: ES Slippage

[bigsurftrader]

Hi all -

ES slippage? What has been your experience?

I have a strategy that does ~4 trades/day (open and close = 1 trade). Currently, for the back test, I've set slippage to 1 tick assuming that market orders will have a "0.25" slippage for open and close, respectively.

What has been your experience with "limit" vs. "market"? And if you went "limit", were you normally filled -- and if not how often were you partially filled? If you're trading "market" is two ticks per trade (open and close) realistic?

My algo trades between 10 to 30 contracts per trade.

Thanks!

[koganam]

Hi all -

ES slippage? What has been your experience?

I have a strategy that does ~4 trades/day (open and close = 1 trade). Currently, for the back test, I've set slippage to 1 tick assuming that market orders will have a "0.25" slippage for open and close, respectively.

What has been your experience with "limit" vs. "market"? And if you went "limit", were you normally filled -- and if not how often were you partially filled? If you're trading "market" is two ticks per trade (open and close) realistic?

My algo trades between 10 to 30 contracts per trade.

Thanks!

ES spends pretty much all its normal motion in a now, somewhat famously recognized, 2-tick flutter. It is why it is such a poor candidate for breakout trading. It also means that more often than not, Limit Orders get filled, and Market Orders have a 1 to 0 tick slippage.

Of course, news events are the exception to the norm.

Just my $0.02 on what I, and many of the traders to whom I speak, have observed. It is why we pretty much trade it only on pullbacks/reversals/resumptions, and very seldom on breakouts.

[bigsurftrader]

Thanks, I have been trading it manually with my algo. Usually 0 to 1 tick is what I've experienced over the year and was curious how close my algo would get to that. Seems likely.

Re: Market. Yeah. It tends to "range" for 2 to 3 weeks, then break out to a new range or revisit an established range in the past. I can see how that could be an effective strategy.