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"since the Nasdaq's bid/ask value is usually
2 full points increment of $200, the amount would be a minimum of $400 for a
round turn, and "
I asked the same question a couple weeks ago and the general consensus was
$500-$1000 slippage on each side in the big NASDAQ. I think you could get
away with $200 slippage each side if always entered in quiet periods.
> -----Original Message-----
> From: TSpheeris@xxxxxxx [mailto:TSpheeris@xxxxxxx]
> Sent: Thursday, March 02, 2000 7:33 AM
> To: omega-list@xxxxxxxxxx
> Subject: Slippage estimations for daytrading S&P and Nasdaq futures?
>
>
> Hello, I am an energy fund manager and I am interested in daytrading the
> CME's S&P 500 and the CME's Nasdaq 100 futures contracts. I am
> unsure about
> the proper slippage estimations. The following are only based on
> my personal
> observation of the tick data: (1) since the Nasdaq's bid/ask
> value is usually
> 2 full points increment of $200, the amount would be a minimum of
> $400 for a
> round turn, and (2) since the the S&P's bid/ask value is usually
> a .20 - .30
> point increment of $50 - $75, the amount would be a minimum of
> $100 - $150
> for a round turn.
> Please give me a reality check as well as persnal experience with
> regards to
> fast and slow markets. Assume the contract quantities would be
> "medium sized
> orders."
>
>
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