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Based on the last 6 months of intraday S&P 500, when I paper trade my
system real time, I assume the worst price of the 30sec period after the
signal bar to be the fill. It matches very closely the actual fills I get
from the floor broker and is also confirmed by those who use Interactive
Brokers station (best electronic S&P fills to my knowledge).
For backtesting, I use the worst price of 1min period following the signal
bar since the use of 30sec period is not possible.
You can find the slippage by using the above 30sec method real time and
averaging the results or, for backtesting, by calculating the average of the
difference between the bar's close and the next bar's H (for long entries)
or L (for shorts) for 1min bars.
Jan Philipp
----- Original Message -----
From: <TSpheeris@xxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Thursday, March 02, 2000 7:33 AM
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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