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You're getting disbelieving comments because you are talking about a level of size that very few traders, except the most experienced, ever actually trade in real life.
If you have been "trading" in simulation, then that answers many questions. If you were trading live, that is, with actual money doing real trades in the market, you would not have these kinds of questions, and certainly not if you were trading this kind of size.
If your are in fact trading in sim, the place to go to "learn more about the hidden perils of trading higher amounts" is to have a real account and to trade real money, starting with onecontract. You will find perils that sim (and your courses) never prepared you for, with even a small amount of money actually at risk.
Slippage from your gigantic size is just not going to be a problem, once you are really putting in real trades. Controlling youself in the face of risk, which is totally absent in sim, will be.
And no, no one is going to believe that you are trading real money in this size with these types of naive questions.
But for what it's worth, ES can take this size fine. Now go trade it with the size that makes sense for a beginning trader, and don't worry about things that you are not actually dealing with. Or putting up questions like this.
ES should be able to handle 100 contracts during normal liquidity without an issue (regular NY hours), and 25 during London. IF all orders are market, and the setting is no filter on max slippage and must fill all orders, you might start seeing that slippage creep up after 10, especially if it's a 1.5M volume day or during lunch.
Hi Inletcap - I would have agreed a few years ago that ES was perhaps the most liquid market - but I would say that's no longer the case. Probably T-notes is the most liquid.
Unless my definition of liquidity is different from yours?
I just wanted to add a different angle to the question. As well as average size of resting orders in the order book, the other function to keep in mind when trading bigger size is where you are about to buy/sell.
In the attached pic the inside offer has only 10 contracts. If you were to buy 30 contracts at that moment in time at market you would inevitably have 'slippage', as in, you would get filled for 10 contracts at 1933.75 and filled for the remaining 20 at 1934.00. So you would have 1 tick slippage on 20 contracts.
Say you wanted to sell 500 contracts on the ES at market. In the screenshot above you have 197 contracts on the bid. That means the first 197 contracts would be sold at 1933.50. Then you would have 224 more contracts sold at 1933.25. The remaining 79 contracts would be sold at 1933.00. So overall you would have 2 ticks slippage across the 500 contracts.
Clearly the more contracts you use the more this phenomenon is likely to occur.
This is at its most basic levels. There are techniques to reduce slippage, e.g. iceberg orders which are more advanced.
I see, thank you choke35 - probably my definition was too simplistic, i.e. I was looking just at the number of contracts (on average) resting on the DOM.
