Futures contracts - How long for an order fill?

[Twiddle]

Hi all,

I am in the process of designing my trading strategies, and I am wondering how accurately my sim trading will reflect when I go live.

As an example; One trade, Crude oil futures - 4 contracts.

What kind of entry/exit time can I expect when trading live?

For example, If I have a stop at 5 ticks and three profit targets (2, 1, 1) at various tick stages. What are the chances of these stops/targets being executed correctly if the price is jumping around quickly, and how long in you experience does it take for them to execute?

Also, is there any way to trade futures live with very small amounts of money to get a feel for how your system is going to work live?

 

[wayneL]

Hi all,

I am in the process of designing my trading strategies, and I am wondering how accurately my sim trading will reflect when I go live.

As an example; One trade, Crude oil futures - 4 contracts.

What kind of entry/exit time can I expect when trading live?

For example, If I have a stop at 5 ticks and three profit targets (2, 1, 1) at various tick stages. What are the chances of these stops/targets being executed correctly if the price is jumping around quickly, and how long in you experience does it take for them to execute?

Also, is there any way to trade futures live with very small amounts of money to get a feel for how your system is going to work live?

Execution is virtually instant if you have s good platform such as TWS.

As soon as stop is triggered you get the next available bid ask. During the day session it's rare to get more than a tick or two slippage, particularly with less than 10 lots.

Out of hours is a different story as spread will be wider and depth shallow.

 

[Twiddle]

Thanks for that Wayne.

 

[MACD]

Twiddle,

I wouldn't trade CL Crude oil with live funds if you only have a small bank account and have not had a lot experience trading. Crude is one of the most volatile instruments to trade and should only be done once you have mastered your trading, your strategies and your platform.

My advise is to trade this in sim and see if the strategy makes money and then decide if you are prepared to risk real money.

 

[Twiddle]

Twiddle,

I wouldn't trade CL Crude oil with live funds if you only have a small bank account and have not had a lot experience trading. Crude is one of the most volatile instruments to trade and should only be done once you have mastered your trading, your strategies and your platform.

My advise is to trade this in sim and see if the strategy makes money and then decide if you are prepared to risk real money.

Hi MACD.

I have been trading crude in sim for about 2 months now. I can trade it consistently profitably in sim. My dilemma is (and the reason my this thread) figuring out whether my strategy will work live, when I am subject to slippage etc.

That is why I mentioned possibly trading with small amounts of money. Just to get an understanding of the differences between live and sim and figure out whether my strategy will work.

When I go live trading I will have a reasonable sized account.

 

[ThingyMajiggy]

Hi MACD.

I have been trading crude in sim for about 2 months now. I can trade it consistently profitably in sim. My dilemma is (and the reason my this thread) figuring out whether my strategy will work live, when I am subject to slippage etc.

That is why I mentioned possibly trading with small amounts of money. Just to get an understanding of the differences between live and sim and figure out whether my strategy will work.

When I go live trading I will have a reasonable sized account.

Who is your account with? If you're with IB then set up your paper account, then you get the realistic fills, latency etc like you would live. Just a heads up in case you haven't thought of it yet.

 

[yonnie]

the only problem with sim is that once price reaches your entry, stop or exit you will get filled.

different story in real time if price stalls and you`re at the back of the queue.

so with sim price has to go through your price level to be sure its bought or sold.

 

[Twiddle]

Who is your account with? If you're with IB then set up your paper account, then you get the realistic fills, latency etc like you would live. Just a heads up in case you haven't thought of it yet.

Cheers Sam, I am planning on using IB with Ninja trader when I go live, so I will make sure to use sim with them for a while prior.

 

[Twiddle]

the only problem with sim is that once price reaches your entry, stop or exit you will get filled.

different story in real time if price stalls and you`re at the back of the queue.

so with sim price has to go through your price level to be sure its bought or sold.

Mmm this is what I was afraid of. Wish there was some way to trade live with small amounts to fine tune systems.

 

[ThingyMajiggy]

Mmm this is what I was afraid of. Wish there was some way to trade live with small amounts to fine tune systems.

Just do the IB paper account thing, if you haven't set up an account yet, when you do, you goto your account settings and you'll see the paper account there on the left, I think you need to apply for it, and it should be ready the next day or so if my memory serves me correctly, but as far as the amount, you can set it to whatever you like, so if you set it to the small amount like you seem to want, then trade using that, its no different to live, you're going to have the delay and everything will be realistic, then you can do all the realistic fine-tuning you like.

 

[Timmy]

Mmm this is what I was afraid of. Wish there was some way to trade live with small amounts to fine tune systems.

Be afraid...
Price hits your stop then your order becomes 'at market' (unless you have instructed a limit), so you get set.
On a profit or limit order, though, sometimes you are so far back in the queue you will need a packed lunch before you get to the front & get set. Or not get set.

If there was a "mini CL" it would trade differently to the full CL anyway, does that make sense? Different contracts.

Even trading 4 contracts as opposed to any other number can give you different results ... which probably doesn't seem to make sense either.

Have you thought of trading/testing 1 contract instead of 4 ... then you have a 'small amount' (a quarter of 4)?

Sorry, rambling a bit.

 

[ThingyMajiggy]

If there was a "mini CL" it would trade differently to the full CL anyway, does that make sense? Different contracts.

There is a mini CL, QM I think it is.

 

[Timmy]

There is a mini CL, QM I think it is.

There you go Twiddle.
http://www.cmegroup.com/trading/energy/crude-oil/emini-crude-oil_contract_specifications.html
Tks Sam.

 

[wayneL]

There is a mini CL, QM I think it is.

Yes QM is half size crude, i.e. 500bbl per contract

 

[Twiddle]

Cheers Timmy and Wayne and Sam.