|
PureBytes Links
Trading Reference Links
|
> >>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
Again I would suggest to compare differently, consider DAILY ranges
in DAILY ranges:
BONDS have often 1-2 bps range = $1000-2000
S&P often has 20-30bps = $5000-7500
or in TICKS (= minimum increment the instrument can move)
bonds = 32-64
S&P = 200-300
so if S&P had 6times more "movement" I consider SLIPPAGE less for
S&P.......even it might be 2,3 or so TICKS and bonds would be 1
rgds hans
|