Russell 2000 E-Mini Slippage

[emg 12]

...as mentioned in earlier post: Tradestation.

 

I believe tradestation has filtered data. Have u seen unfiltered data like ninja trader zen fire?

[BlowFish 10]

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.

 

Slippage is determined by the underlying market, not by any market data. Whether the data is real time, delayed, filtered or even if you have no data at all.

 

Of course if you are using market orders based on 20 minute delayed quotes it may appear to be getting slippage but in reality you are not.

[emg 12]

Slippage is determined by the underlying market, not by any market data. Whether the data is real time, delayed, filtered or even if you have no data at all.

 

Of course if you are using market orders based on 20 minute delayed quotes it may appear to be getting slippage but in reality you are not.

 

There is a big difference between filtered and unfiltered datas.

[BlowFish 10]

There is a big difference between filtered and unfiltered datas.

 

Yes but it makes absolutely no difference to the price you get filled at. You will be filled at the prevailing price at the exchange. Filtered data does not cause slippage though of course if you don't know the correct price you can not hope to tell. The only way to tell whether it is slippage or bad data is to use a stop order, this will let you know exactly what you slippage is without worrying about correct price data.

[Cruiser 10]

There is a big difference between filtered and unfiltered datas.

 

I'd love to learn more about this;

..about brokers better for futures than TradeStation (does this make a big diff on ES and other futures too?)

...and about how it works between Ninja, Zenfire and a broker and what broker is best in this combo - I'm a little confused how this all works as opposed to a one-stop-shop like Tradestation or Think-or-swim.

 

If anyone can shed a little light on these subjects or point me in the right direction I'd really appreciate it.

[phoenix01 10]

What is the size limitation in the TF? Whats the most contracts anyone here has traded with 0 or 1 tick slippage? Thanks.

[wrbtrader 10]

What is the size limitation in the TF? Whats the most contracts anyone here has traded with 0 or 1 tick slippage? Thanks.

 

Some days I've had slippage on a few contracts and no slippage on much more contracts in the same day or within an hour of each other. Other trading days, no slippage on a few contracts and slippage on much more contracts in the same day. Thus, two variables about slippage is the time of day and volatility at the time of the trade.

 

Simply, if you're worry about slippage...don't use market orders or stop orders. Instead, use limit orders but this will also increase the chance of not getting filled on the order. There are other types of less common orders (e.g. stop-limit order) but market orders, stop orders and limit orders are the three most common types. Thus, another variable about slippage is the type of order being used.

[phoenix01 10]

Some days I've had slippage on a few contracts and no slippage on much more contracts in the same day or within an hour of each other. Other trading days, no slippage on a few contracts and slippage on much more contracts in the same day. Thus, two variables about slippage is the time of day and volatility at the time of the trade.

 

Simply, if you're worry about slippage...don't use market orders or stop orders. Instead, use limit orders but this will also increase the chance of not getting filled on the order. There are other types of less common orders (e.g. stop-limit order) but market orders, stop orders and limit orders are the three most common types. Thus, another variable about slippage is the type of order being used.

 

I usually enter one tick above or below a cande, what would you suggest as the best method of entry? I trade profitably most around the open and tend to hold positions for 15-30 minutes is the illqudity of the TF in the long term an issue for me?

[wrbtrader 10]

I usually enter one tick above or below a cande, what would you suggest as the best method of entry? I trade profitably most around the open and tend to hold positions for 15-30 minutes is the illqudity of the TF in the long term an issue for me?

 

I don't know anything about your trade method but only because you have not stated anything in detail nor shown any chart examples. Therefore, I can't suggest how you should enter a trade except that your entry should be based upon similar concepts from your trade method. Yet, if you're asking about what order type to use, I recommend limit orders especially when placing trades around the open. Yeah, you're going to get some fills but hopefully those missed trade opportunities aren't the big ones that would have determine if you're profitable or not for the month.

 

Also, you said you trade profitably around the open...I recommend you continue doing such and just leave it as it is. Thus, if it ain't broke...why try fixing it.