Getting Filled in Trading

[theman 10]

Hi there

 

I want to trade the @ES, when I write a strategy on Ninja (using Zen-fire feed) will my market order be filled there and then? In other words, will I get slippage, if so, how many ticks or points are we talking about?

 

Thanks

[brownsfan019 17]

I think the safest view would be to assume 1-2 ticks slippage on the ES, with 1 tick the norm.

 

Also, when using limit orders you'll want to assume that price trades THROUGH that level to get filled.

[zdo 20]

BF' s answer is generally correct in a broad statistical way.

Getting a tiny bit more specific -

If, at a very granular level, your system using MktOrders is buying into strength (and vice versa - selling into weakness) then you will get negative slippage.

Otoh, if your system is buying into weakness (and vv) then you can expect neutral to slightly positive slippage.

Also Mkt Order slippage expands with acceleration and price 'speed'

In the ES, liquidity is slippage beneficial and the tick size is slippage detrimental...

In testing a system using mkt orders should hold up well using 2 tick slip in and out ...

These are still general answers btw only slightly more specific than BF's

hth

[theman 10]

Gosh, as much as 2 ticks, thats alot :-(

[BlowFish 10]

2 ticks on ES is pretty rare (unless you are on a satellite internet connection ). Of course better to err on the side of caution. Mind you with recent volatility it is more common than when it traded in an 8 point daily range. As zdo says a lot depends on how your system works.

 

If your system allows it using stops (to enter break out style) or limits (to buy against price movement) will likely improve things especially if your connection is not particularly low latency.

[brownsfan019 17]

That's the issue w/ sending market orders on the ES. You just don't know where you'll get filled. In normal, every day type situations, 1 tick slippage is going to be standard.

 

If you throw that same order out there before a news announcement or something, then you'll more than likely see ticks of slippage.

[brownsfan019 17]

You have to understand what the purpose of a market order is before you get disheartened by slippage on market orders...

 

The purpose of a market order is to tell the markets - get me in, at whatever cost NOW. I am willing to take some immediate loss/pressure for the ability to enter my trade NOW.

 

The purpose of a market order is NOT to get you the most ideal price possible.

 

So w/ that said, the markets will take advantage of that but that's the deal you make when you send a market order.

 

Your other option is to send a limit order but the deal there is you say you are not willing to pay more, even if that means you miss some trades.

 

Recap:

MARKET ORDER

- gets you in now / you pay for this privilege / won't miss any trades

 

LIMIT ORDER

- you wait to get in / you don't pay extra for this / might miss trades

[BlowFish 10]

You also have to consider where an order is held and how it is elected. For example stop orders are often supported by the exchange natively so most brokers will send them to the exchange immediately.

 

e.g. if the ES is trading at 853.25 and your system wants to get long at 860.00 it is far better to send a stop order at 860 that will be elected and matched at the exchange as soon as that price is traded at. If you wait for the signal at PC you might have a stale price by the time the price reaches you. Not only that you have to send the order back to your broker then on to the exchange. Price can move several ticks in those couple of hundred milliseconds.

 

Also consider MiT's (Market if Touched) (if you want to buy below price or sell above price but want to be sure of a fill so ruling out a limit order). Whilst the exchange wont handle that natively it will usually be handled by your brokers system which is a big step closer to the exchange.

[theman 10]

Thankyou guys, you really helped me in understanding how it works.

 

OK, whats the slippage like for @YM? I guess it's not max 2 ticks for that?

 

Hope you can help me again with this.

 

Many thanks and king regards

[brownsfan019 17]

I personally never got into the YM, so not sure on slippage there. The volume is quite a bit less than the ES so that could impact the orders depending on what time they are placed.

[zdo 20]

YM is relatively thin these days but slippage is 1 tick in normal auctions – very generally speaking. Any speed at all though and you should not be surprised at a 2-3 slip on a mkt orders

[theman 10]

What do you mean by thin? do you mean theres no volumn

[bakrob99 11]

Thankyou guys, you really helped me in understanding how it works.

 

OK, whats the slippage like for @YM? I guess it's not max 2 ticks for that?

 

Hope you can help me again with this.

 

Many thanks and king regards

 

MY experience suggests that the cost for slippage on both markets (YM and ES) is similar... even though you might think that the YM would be better with a smaller value ticksize, you can get many more ticks slippage than the ES. Mind you, this is for relatively small size trading (less than 10 lots). Larger sizes would be benficial to trade the ES.

 

On the other hand, for Limit orders I find the fills are more assured on the YM because it is more likely that price will trade through your limit price. In the ES, where I trade 2 - 5 contracts, the Limit orders I place get filled 75% of the time even if the price does not trade through them as normally my limit order is out there for a while in advance of the price retracement.

[fitzkie 10]

What is the volume?

 

Please give more details

[zdo 20]

What do you mean by thin? do you mean theres no volumn

 

The YM book is thin

So yes, in essense, low volume.

 

bakrob is correct. The YM is a bit shakey to trade these days. I still like the charts of the YM on short timeframes though - less 'blocky' and often id setups on YM and take the trade on ES as they rarely diverge directionally for very long.

 

fitzkie, re "what is the volume?" I wish I could help you there

Good luck. Read DBP and VSA and good luck with that too.

[diablo272 10]

On a related subject, is anyone aware of a contract with the same or similar tick size to the YM, but with more volume? I know of the mini Nikkei on the OSE, and it looks like it's more liquid than the YM, but I'm wondering if there's something closer to the liquidity of the ES. There is nothing like this to my knowledge, but I'm just checking. Also just to be sure that I have this right, the OSE website lists the mini Nikkei 225 average daily volume in 2/2009 as ~368k, is that more or less accurate? I have no way of watching this market, otherwise I'd look for myself.

[Soultrader 12]

On a related subject, is anyone aware of a contract with the same or similar tick size to the YM, but with more volume? I know of the mini Nikkei on the OSE, and it looks like it's more liquid than the YM, but I'm wondering if there's something closer to the liquidity of the ES. There is nothing like this to my knowledge, but I'm just checking. Also just to be sure that I have this right, the OSE website lists the mini Nikkei 225 average daily volume in 2/2009 as ~368k, is that more or less accurate? I have no way of watching this market, otherwise I'd look for myself.

 

The KOSPI futures has similar tick size as the ES and is fairly liquid. Not to mention the KOPSI options is the worlds heavily traded contract. The mini Nikkei and mini Topix though is more suitable if you are looking for similar YM tick size. (mini topix is still illiquid)

 

Attached is both the KOS and mini Nikkei 3 minute chart with DOM.

[diablo272 10]

Thank you James, re those screenshots: I've never used CQG, so I have a couple questions. First, is that 19:00 New York time (Nikkei open)? And on the DOM, are the numbers to the right of price market depth? If so that is much more size than the YM during New York open, especially the mini Nikkei.

[Soultrader 12]

Nikkei opens at 9am Tokyo time... which would be 7am EST for now. Just make sure to adjust according to day light savings time. The numbers to the right are market depth.. tick size is approx $5 a tick. But the ATR is alot lower than the US markets.

[diablo272 10]

Thanks, I'll have to get a data feed that shows Nikkei then to look at charts etc...I believe IB and e-signal carry the OSE nikkei contract.

[AgeKay 10]

There is no "slippage" in trading. You make it sound it's like this magical loss you take when you trade. Learn how the order matching process works.

 

When you use a buy market order, you buy at the ask when it arrives at the exchange.

When you use a sell market order, you sell at the bid when it arrives at the exchange

 

Of course, the bid or ask may change in between the time you click the button and the order hits the exchange, but this isn't slippage, this is the market changing. You will generally not experience this when you send your order automatically just when the inside market has changed. It generally trades there for a few seconds unless it's a thin market.

 

So in reality, you just pay the bid-ask spread when using market orders. To get a realistic fill, you would check the bid/ask X ms after you have placed your order where X is the number of ms you think it takes your order to arrive at the exchange.