Futures Fills - slippage report

[Kel]

I thought it would be worth sharing slippage based on actual fills compared to hypotheticals on the ESM2 (emini S&P 500 June 12 futures contract) and EMDM2 (emini S&P 400 June 12 futures contract).

The system logic is such that buy/sell orders are sent at the same time for both markets. These are 1 lot trades.

In March 2012 I executed 6 trades on the ES and 6 trades on the EMD - all market orders. Here is the slippage I experienced vs hypotheticals of an automated system which I am trading. For Hypotheticals I assume a tick slippage on each side of the trade. For ES that means $25 r/t and EMD that means $20 r/t.


Date diff Actual vs Hypothetical (+ indicates better fills than my assumed slippage and 0 means met my assumptions on r/t slippage):

ES Market

3/6____ -$25
3/7____ +$25
3/8____ +12.50
3/8____ + 0
3/13___ +12.50
3/20___ +12.50
---------------------
Total__ +37.50

EMD Market

3/6____ -$30
3/7____ -$20
3/8____ -$10
3/8____ + 0
3/13___ -$30
3/20___ -$10
--------------------
Total__ -$100

Note the emini S&P 400 is much less liquid market - I was thinking that if fills were better in the emini russell 2000 TF contract, where hypothetical testing results are very similar to the EMD market, it would be worth paying the $70 per month extra for live data on the ICE exchange where the TF contract is traded - I may experiment with that - of course I probably need to analyze more than one month of data.