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thanks to all who replied. your insight was much appreciated. while i
won't repost private messages a good summary of the answers to the question
"is slippage is much higher than 1 big point in ND futures" is -- "oh yes."
On average it's 3 but even in non fast market conditoins can be as high as 5
points or $500.00/contract. in faster market conditions, even more upwards
of 10 points. scalping is pretty useless with spreads like this. the emini
is a more feasible market for scalping or short term ND trading (10 point
swings). swing trading (50-100pts) is a better goal for big nasdaq players
since slippage is mitigated. limit orders can help offset slippage probs
but the price still has to go through your limit order and there's no
guarantee of a fill if it goes through by just 1 point. current OI on the
NASDAQ is around 32K and Eminis are around 7500K but eminis benefit from
efficiency of published spreads and faster execution.
the good news is that slippage is getting better as more people play the big
market. however, it seems to me that the higher margin requirements for the
big market will keep the liquidity marginal and the spreads fat for the
floor. this should help the emini.
> -----Original Message-----
> From: Dennis Holverstott [mailto:dennis@xxxxxxxxxx]
> Sent: Monday, February 07, 2000 10:24 AM
> To: Omega List
> Subject: Re: NASDAQ Slippage...
>
>
> > What's average slippage for a market order in the big nasdaq?
> Seems higher
> > than $100.
>
> Oh yeah. :-) You can't watch the bid/ask on the big ND but you can on
> the mini NQ. The spread is seldom less than one big point and often as
> high as 3 or 4. At $100/bigpoint on the big ND that could be $300-400 if
> you could get your order executed instantly. Add in the usual quote
> delays, order delays and a fast market and, well, you get the picture.
>
> --
> Dennis
>
>
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