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Speaking of slippage, has anyone noticed their slippage trading the
QQQ? After they were done tweaking with the ecn's, it seems
that the ecn's will trade against you if their computers discover a
split-second opportunity. So much for the "advantage" of
decimalization.
We can naively assume that everyone has fair access to realtime
data. Having said that, if you slip trading the eminis, it' because
traders got there before you. If you slip trading the ETF's, it's
because you got screwed.
Whether it's fair or unfair, it's still slippage, which has to be factored into trading
systems that tend to generate buy signals when too many people are
buying at that instant in time.
KR> In my experience, it's like any other liquid market. If the market is
KR> moving fast, I get some slippage. But in a relatively calm market, I get
KR> filled at the bid or ask.
KR> Kent
KR> ----- Original Message -----
KR> From: "MT" <mtzianos@xxxxxxxxx>
KR> To: <omega-list@xxxxxxxxxx>
KR> Sent: Sunday, November 03, 2002 5:51 AM
KR> Subject: Re: Strategies testing. Datafeeds differ a lot
KR> Kent Rollins wrote:
>>
>> The S&P e-mini is unfriendly to market orders? Since when?
>>
>> Kent
>>
KR> My experience is that market orders in the emini-SP usually have 0.5
KR> slippage on each side. On the other hand, my experience with emini-SP
KR> stop orders is that they usually have no slippage at all.
KR> Let me know if your experience says otherwise ...
KR> Regards, MT
--
Best regards,
_Craig mailto:craigbud@xxxxxxxxxxx
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