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Intraday CL Slippage-Contract Scaling Question


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Intraday CL Slippage-Contract Scaling Question

  #1 (permalink)
Spart248
Austin TX
 
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I am currently about finished with development for a system that trades CL intraday. It enters on a 2-Minute Candlestick chart. I am in the last few steps of modeling and need to create a realistic proposal for how slippage could impact the system's performance at various Contract quantities. The system trades between 9:30 - 11:30 EST.

All entries and profit targets are Limit Orders. All stop loss-exits are Stop Market Orders.

I've built and currently trade one other system for ES that is similar, but I don't personally have much experience with CL. I understand that when trading 1 contract on a 2-Minute chart (assuming not around important data/market events), I shouldn't typically get more than 1 tick slippage on Stop Market exits. Limit Orders should be filled without issue. How does that scale with more contract?

Can I still expect only 1 or maybe 2 ticks slippage on 5 contracts per trade? 10 contracts? 20? How about the ability for a Limit order to fill with 5,10,20+ contracts?

I am hoping somebody who is more experienced in intraday CL trading can give me some insight on how slippage scales with contract quantities. Thank you!

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  #3 (permalink)
 
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 SMCJB 
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1,2,5 or even 10 lots, slippage should be the same. Even 20 most of the time should still be 1 tic, but if your unlucky some of your order could be 2 tics. Of course if you try and execute anything during the DOE inventory report, slippage could be significant even on a 1 lot!

As always in backtest I would only assume a limit order is filled, if the price is exceeded, but this isn't as important as futures with much deeper order books.

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Spart248
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Wow, that's crazy to me that 10-20 lots can be traded on a 2m chart with little more than 2 ticks slippage. That's so good. Slippage doesn't threaten the viability of the system, but I was a bit disheartened by my initial assumption that I may need to project 3-4 tick slippage per trade on 10 contracts. This would be a bit frustrating, as the average trade risk (R) value is about 13 ticks, so 3-4 is a big loss, and would really stretch some of the drawdowns.

I do indeed assume no fill on trades where the Profit Target Limit Order is not passed. Thankfully, this rarely happens.

So, that's pretty good news to me. Thanks so much for the reply.

If anyone else has their input, I'd love to hear.

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 SMCJB 
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Crude can and does move fast, but the order book normally is 20-50 up, 10+ layers deep, so there should be little difference in your slippage for 1 lot vs 10. I'm assuming that your fast enough that would be 1 tick, but if your trading on a 2000 era laptop on a dial up connection in Uzbekistan that may not be the case!

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Spart248 View Post
Wow, that's crazy to me that 10-20 lots can be traded on a 2m chart with little more than 2 ticks slippage. That's so good. Slippage doesn't threaten the viability of the system, but I was a bit disheartened by my initial assumption that I may need to project 3-4 tick slippage per trade on 10 contracts. This would be a bit frustrating, as the average trade risk (R) value is about 13 ticks, so 3-4 is a big loss, and would really stretch some of the drawdowns.

I do indeed assume no fill on trades where the Profit Target Limit Order is not passed. Thankfully, this rarely happens.

So, that's pretty good news to me. Thanks so much for the reply.

If anyone else has their input, I'd love to hear.

Hey -

Just taking a look at the book right now (see attached) but I think as long as you're trading front month in a normal market you will have a tough time getting 3-4 ticks of slippage on a 10 lot.

Now, if you're sending a 10 lot market order right after the EIA report or some other fast market, you could easily have 3-4 ticks slippage if not more!

Take care,
Mike Murphy

Use Promo Code FUTURES.IO for $0.45 futures commissions, $0.19 micro commissions HERE. *Promotion only available to new customers. Other fees such as exchange and NFA still apply*
Mike Murphy | Director of Trading
Ironbeam Futures
Phone: 312-765-7228 | [email protected]
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Last Updated on November 21, 2019


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