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It all depends on your style and system. Breakout stop entries will get
creamed to the extent you mention, or more, while limit entries are, well
LIMIT ENTRIES so you get your number 99% of the time. Planning ahead and
using a good broker will make a big difference too I think. Put your stops
in early with someone close to the pit and you may be one of the lucky ones
filled at or near your number.
----- 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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