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Fills have been poor for more than a year. It appears the liquidity has
migrated back to the cash market somewhat. The only S & P product I can
trade is the Merc future or option(because I work for CBOE I cannot
trade any of the cash products). I get direct access and the fills have
been poor for the last year plus.
However if you look at slippage based on bps basis given the contract
size and compare it to a year ago it is only a little worse. Thats no
excuse but it is what you hear.
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