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I failed to mention that my method applies obviously to market orders.
Jan Philipp
----- Original Message -----
From: JHP <jan4123@xxxxxxxxxx>
To: <TSpheeris@xxxxxxx>; <omega-list@xxxxxxxxxx>
Sent: Thursday, March 02, 2000 2:20 PM
Subject: Re: Slippage estimations for daytrading S&P and Nasdaq futures?
> 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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