Russell 2000 E-Mini Slippage

[Uli Schmuli 10]

I get 2 ticks slippage on the TF about 90% of the time during regular hours trading. I'm using Tradestation. Is this an issue with the broker, the exchange or the platform? Is it just the nature of the thinner market? Is anybody else experiencing this?

 

Thanks,

 

Uli

[avalanch 10]

I assume you're talking about market orders. I use limit orders to enter, and usually market orders to exit, and yes, with the market orders, I definitely get screwed on the fill, but for me, it's better to lose a few ticks with a market order than to miss a fill on a limit order, have to cancel and re-enter a order, potentially losing additional ticks, based on the speed of price movement.

 

I trade TF almost exclusively and would be interested in your trading methods.

[dam5h 10]

2 ticks often is horrible. i trade the tf often, and sometimes use stop entries on breakouts and usually don't experience slippage. occasionally i see 1 tick slippage, and only if at a big level. with IB i used to experience 2 ticks at big levels. with infinity its not really a problem.

 

you should set up your platform to use "stop limits" rather than just "stops", these rest on the exchange servers not on the brokers servers, the result is better fills, just be sure to allow for an offset for the limit portion that will still get you filled.

[ted 10]

Hi. I work for ICE and am responsible for the Russell Index futures products. I can tell you that we have multiple market makers in place who consistently quote a 1 tick market for the TF (mini Russell 2000). We very seldom get complaints about slippage and as discussed by others in this thread, limit orders are typicaly used by msot active traders. Also, note that the ICE platform has the fastest execution speed in the futures industry. That coupled with the volatility in the TF and the fact that the TF often leads the other indexes makes it even more important to be prudent with order entry management.

[Tams 20]

did you guys have computer problem (again) this morning?

[ted 10]

No problems with the ICE platform. What are you experiencing?

[avalanch 10]

no problems here

avalanch

[Swan Noir 10]

Hi. I work for ICE and am responsible for the Russell Index futures products. I can tell you that we have multiple market makers in place who consistently quote a 1 tick market for the TF (mini Russell 2000). We very seldom get complaints about slippage and as discussed by others in this thread, limit orders are typicaly used by msot active traders. Also, note that the ICE platform has the fastest execution speed in the futures industry. That coupled with the volatility in the TF and the fact that the TF often leads the other indexes makes it even more important to be prudent with order entry management.

 

Ted (or anyone else

 

I know you job is at ICE but I wonder if stop limits are better employed than straight stops in NQ or ES as well?

 

Thanks

[dam5h 10]

yes, always best to be on exchange servers rather than broker (or even local on your machine) server. in super liquid markets like es it would be rare that it would make a difference, but it does in certain situations.

[Uli Schmuli 10]

Thanks for the feedback & interest, everybody. Of course, I was speaking of slippage on market stop orders. Sounds like 1-2 ticks is normal for market orders...

[elpepelucho 10]

I used to trade the russell 2K through tradestation (ER2) and after the switch to ICE (TF) the slippage became huge (1-3 ticks) on stop market orders to enter a trade.

 

I switched to Ninjatrader/Zenfire and haven't had any slippage problems since then. Actually, sometimes I have positive slippage (in my favor).

 

Tradestation just dropped the ball on this emini.

[FulcrumTrader 10]

Not even with a gun to my head would I use TS for live Russell trading....LOL!

 

Compared to TradeVec/TT Fix or Ninja/Zen there is no comparison and I agree with your observations.

[Uli Schmuli 10]

I have more information since my original post about TF slippage. I was using OCO bracket orders in Tradestation. If you place an order like this, the exit orders are held on Tradestation servers until the order is triggered. Then it is sent to market. That is why I was getting such a big slippage. Even if you enter and OCO bracket order and then cancel one side of the order, leaving only the stop portion - the order still remains on TS servers until triggered.

 

Since finding this out, I now use stop orders, not bracket OCO orders if there is a good chance of being stopped out. Since doing this, I have not had even 1 tick of slippage over the last month or so.

 

I know this to be true first-hand, so I don't understand why some people are so down on TS as a broker unless maybe they don't understand this issue entirely.

[mike21 10]

I switched to Ninjatrader/Zenfire and haven't had any slippage problems since then.

.

 

NinjaTrader or ZenFire have nothing to do with slippage. Who is your broker?

[elpepelucho 10]

mirus futures, why so you say zenfire has nothing to do with slippage ?

[FulcrumTrader 10]

I have more information since my original post about TF slippage. I was using OCO bracket orders in Tradestation. If you place an order like this, the exit orders are held on Tradestation servers until the order is triggered. Then it is sent to market. That is why I was getting such a big slippage. Even if you enter and OCO bracket order and then cancel one side of the order, leaving only the stop portion - the order still remains on TS servers until triggered.

 

Since finding this out, I now use stop orders, not bracket OCO orders if there is a good chance of being stopped out. Since doing this, I have not had even 1 tick of slippage over the last month or so.

 

I know this to be true first-hand, so I don't understand why some people are so down on TS as a broker unless maybe they don't understand this issue entirely.

TS has decrepid order routing infrastucture and speeds......No thanks!

[sevensa 10]

mirus futures, why so you say zenfire has nothing to do with slippage ?

 

Because zen-fire is a datafeed and not a broker. If you don't understand the difference between the two, you really should not be trading until you do.

[elpepelucho 10]

yea yea, it was an absent minded comment and there was no way to delete it after I hit click. My bad.

[BlowFish 10]

I have more information since my original post about TF slippage. I was using OCO bracket orders in Tradestation. If you place an order like this, the exit orders are held on Tradestation servers until the order is triggered. Then it is sent to market. That is why I was getting such a big slippage. Even if you enter and OCO bracket order and then cancel one side of the order, leaving only the stop portion - the order still remains on TS servers until triggered.

 

Since finding this out, I now use stop orders, not bracket OCO orders if there is a good chance of being stopped out. Since doing this, I have not had even 1 tick of slippage over the last month or so.

 

I know this to be true first-hand, so I don't understand why some people are so down on TS as a broker unless maybe they don't understand this issue entirely.

 

Most 'complex' orders (anything beyon market,stop,limit) will be synthesised at the broker. If the instrument is thin then this can easily result in slippage. Moral of the story always know how your order is submitted and where it is held

 

How are you finding the Russel apart from this? Is it trading like it did before it moved to ICE?

[Uli Schmuli 10]

Most 'complex' orders (anything beyon market,stop,limit) will be synthesised at the broker. If the instrument is thin then this can easily result in slippage. Moral of the story always know how your order is submitted and where it is held

 

How are you finding the Russel apart from this? Is it trading like it did before it moved to ICE?

 

I think it is absolutely, 100% as liquid and effective as it was when it was before the ICE move. As I said, I've experienced no slippage, as long as orders are routed to the exchange immediately and not sitting on TS servers. I can't complain about no slippage, that's for sure. But then I'm only executing 2 contracts, so I can't really say about performance for you 10-lot big-league guys & gals.

[emg 12]

I think it is absolutely, 100% as liquid and effective as it was when it was before the ICE move. As I said, I've experienced no slippage, as long as orders are routed to the exchange immediately and not sitting on TS servers. I can't complain about no slippage, that's for sure. But then I'm only executing 2 contracts, so I can't really say about performance for you 10-lot big-league guys & gals.

 

there is slippage. look how wide the buy and ask spread? also, if you are using filtered data, expect lots of slippage vs unfiltered data.

[Uli Schmuli 10]

EMG, I'm just reporting actual data from my trading. I enter all trades on limit orders, and therefore can only potentially experience slippage on stops. The point is that slippage (if any) is an acceptable amount. No complaints.

[elpepelucho 10]

Most 'complex' orders (anything beyon market,stop,limit) will be synthesised at the broker. If the instrument is thin then this can easily result in slippage. Moral of the story always know how your order is submitted and where it is held

 

How are you finding the Russel apart from this? Is it trading like it did before it moved to ICE?

 

I have to disagree. Volume completely dropped off after the ICE move. To be fair, it's hard to tell if the volume dropped because of the liquidity crunch or the move to ICE, but it's not the beast it once was.

[emg 12]

EMG, I'm just reporting actual data from my trading. I enter all trades on limit orders, and therefore can only potentially experience slippage on stops. The point is that slippage (if any) is an acceptable amount. No complaints.

 

what platform are u using?

[Uli Schmuli 10]

...as mentioned in earlier post: Tradestation.