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> 1) whats a realistic slippage allowance for mini
> contracts...(per contract)
> and fill times..
Slippage depends on the day, the conditions and the market. I've found
fill times to be pretty slow (occasionally hours rather than minutes).
Wait... do you mean Mid-Am minis or the S&P e-mini? E-mini fills come
back as soon as the order is executed. Slippage on stop orders appears
to be zero to a couple of ticks, but I've heard very little about the
results using the stop server.
> 2)rough cost of live price feed.... per annum. (just the s
> n p is ok.)
$55 to the CME per month, plus whatever you're paying as a monthly
subscription. Check DTN (cheaper) or BMI (no multi-day service
interruption yet this year).
> is it possible to have a
> trailing % stop loss order (on a position basis) left with
> a broker?
You can find brokers who do that, though they're almost never labeled
"discount". Not all full service brokers will agree to do this.
> (and can they be relied upon to execute it).
Most brokers who accept trailing stops do so on a "not held" basis; that
is, they promise to try hard to do the right thing but aren't liable if
it doesn't work right. Given the number of uncontrollable variables in
a trailing stop, I can't blame anybody (including myself) for doing it
that way.
The best idea I can come up with is, if you find a broker you like who
says they'll take trailing stops, ask them *exactly* how they implement
them and decide if the answer is agreeable to you.
> 4) does anyone know the average point move per day of the
> sp 500 (from low to high)...
It's extremely volatile, changing not only from day to day but week to
week. Right now, Average True Range runs between 10 and 20 points. The
10-day ATR on the e-mini is right aroung 16 points right now.
Sticks
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Troutman, Defender of Sticks troutman@xxxxxxxxxxxxxxxxxxx
(aka) http://www.defendercapital.com/
Jonathan Matte, President No banner ads, no cookies,
Defender Capital Management, Inc. no sekrit sniffers!
Introducing Broker, Commodity Trading Advisor
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