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At 09:59 AM 4/3/1999 -0600, Robert W Cummings wrote:
>At 02:52 PM 4/3/1999 +0200, hans esser wrote:
>>
>>Robert W Cummings wrote:
>>
>>> Bonds seemed to have the least slippage of any futures market
>>> I've traded...
>>
>>hmmmm....consider BONDS at 125 and S&P at 1250 for simplicity:
>>
>>in bonds 1 tick slip is $31.25
>>in S&P 1 tick slip is $ 25 = LESS (if it would be 1 tick only)
>>
>>in bonds 1 tick slip 125.00 -> 125.03125 = 0.025%
>>in S&P 1 tick slip 1250.00 1250.10 = 0.008%
>>
>>
>
>~~~~~~~~~~~~~
>>to have more slip in S&P than in bonds you must have more than 3 ticks
>slip on
>>average......do you ?
>>
>>rgds hans
>>
>
>I would have to guess that it does based on volatility in both markets. S&P
>moves in 50 to 100 points ticks during fast markets and the bonds generally
>trade at one tick intervals even during fast markets. During normal times
>and execution time being equal the S&P would have the advantage due to this
>per cent factor you've pointed out.
>
>Robert
>
>
>
One way to determine the slip factor is to find somebody that monitors such
things closer than the average person would. Chuck Le Beau uses $100 cost
factor for bonds and $150 for S&P. I think Chuck tries to be as honest as
he can with these figures and they appear reason for an average.
Robert
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