Risk control - Futures slippage

[WaySolid]

I'm trying to work out some disaster scenarios for futures markets. In particular the share price indexes.

Is anyone aware of stories about what happened with the futures markets on 9/11 and with the 87 and tech crashes? The most thinly traded market I'm in currently would be the SPI.

I have been told that even on 9/11, slippage in the SPI market would only be 10-15 points past your stop (on a much bigger market fall).

Thanks.

 

[Punta]

I have a couple of futures algos I thinking of scaling up. They buy and sell at MKT. Is it accurate to say that the spread in fill prices can perfectly determine any slippage caused by increasing volume?

With a MKT order, you just hit the order book as it stands when your order hits the exchange. So increased volume only causes extra slippage *if* e.g. when you BUY at MKT, you hit more than one ask level in the book?

Cheers,

 

[white_goodman]

I'm trying to work out some disaster scenarios for futures markets. In particular the share price indexes.

Is anyone aware of stories about what happened with the futures markets on 9/11 and with the 87 and tech crashes? The most thinly traded market I'm in currently would be the SPI.

I have been told that even on 9/11, slippage in the SPI market would only be 10-15 points past your stop (on a much bigger market fall).

Thanks.

flash crash night there was nothing in the order book on the SPI, literally 1's and 2's with 10 price gaps, though that was nighty session where its pretty empty anyways...

 

[white_goodman]

I have a couple of futures algos I thinking of scaling up. They buy and sell at MKT. Is it accurate to say that the spread in fill prices can perfectly determine any slippage caused by increasing volume?

With a MKT order, you just hit the order book as it stands when your order hits the exchange. So increased volume only causes extra slippage *if* e.g. when you BUY at MKT, you hit more than one ask level in the book?

Cheers,

markets arent created equally, look at the ladder of ES compared to Oil

 

[Punta]

markets arent created equally, look at the ladder of ES compared to Oil

Thanks mate. What I'm really asking though, is: if you hit the market with a large-ish "market" order, do you get filled with the bid/asks that are in the book at the instant your order hits the exchange? There's no possibility of HF algos seeing your volume, and giving you ****tier fills than the bid/offer book contains at the instant your order hits?

 

[CanOz]

Thanks mate. What I'm really asking though, is: if you hit the market with a large-ish "market" order, do you get filled with the bid/asks that are in the book at the instant your order hits the exchange? There's no possibility of HF algos seeing your volume, and giving you ****tier fills than the bid/offer book contains at the instant your order hits?

I'd say it depends Punta on the liquidity of your chosen instrument. Also, some of the orders in the book are not for real and will be pulled once the orders start hitting the inside. I's say open an order book and watch the size hit the bid and offer. You can get a good idea from that how big you need to be on your market to lift the offer or drop the bid. This will change day to day, hour to hour. You will have slippage unless your trading a thick market like the ES etc.

IB's book trader is sufficient for this. The other option is that i could record the Jigsaw DOM for you on your market, and then post a link for you to download the video.

I have only two days to do this, before i will be away from the market indefinitely though.

Cheers,


CanOz

 

[Punta]

I'd say it depends Punta on the liquidity of your chosen instrument. Also, some of the orders in the book are not for real and will be pulled once the orders start hitting the inside. I's say open an order book and watch the size hit the bid and offer. You can get a good idea from that how big you need to be on your market to lift the offer or drop the bid. This will change day to day, hour to hour. You will have slippage unless your trading a thick market like the ES etc.

IB's book trader is sufficient for this. The other option is that i could record the Jigsaw DOM for you on your market, and then post a link for you to download the video.

I have only two days to do this, before i will be away from the market indefinitely though.

Cheers,


CanOz

Thanks for the offer mate - very good of you. I've been looking at IB's book trader, and I think that's good enough for me. It seems sufficient to get an idea of DOM, and a feeling for what volumes will start hitting the next rungs in the ladder - I've been watching SPI and HSI, and it seems like one "should" be able to get away with roughly 5-10 contracts before a tick of slippage comes into play. Certainly on this volume, I don't expect to hit 3-levels very often.

What I want to know is though, if I submit a MKT order, and get uneven fill prices, can I be convinced that I "used up" all of the available DOM at a particular level, before I started getting filled at worse prices?

Some of the talk of HF algos has me paranoid. If e.g. I submit a large MKT order (say it covers 5-levels of the DOM), am I guaranteed that the market does not move during my fills? Do I get filled at exactly the numbers in the book that were present when my order hit the exchange? Or does some evil HF algo "see" a bunch of orders getting hit at MKT, and ramps the ask up during the the few microseconds taken to fill my orders??

 

[CanOz]

Thanks for the offer mate - very good of you. I've been looking at IB's book trader, and I think that's good enough for me. It seems sufficient to get an idea of DOM, and a feeling for what volumes will start hitting the next rungs in the ladder - I've been watching SPI and HSI, and it seems like one "should" be able to get away with roughly 5-10 contracts before a tick of slippage comes into play. Certainly on this volume, I don't expect to hit 3-levels very often.

What I want to know is though, if I submit a MKT order, and get uneven fill prices, can I be convinced that I "used up" all of the available DOM at a particular level, before I started getting filled at worse prices?

Some of the talk of HF algos has me paranoid. If e.g. I submit a large MKT order (say it covers 5-levels of the DOM), am I guaranteed that the market does not move during my fills? Do I get filled at exactly the numbers in the book that were present when my order hit the exchange? Or does some evil HF algo "see" a bunch of orders getting hit at MKT, and ramps the ask up during the the few microseconds taken to fill my orders??

The only one i know that trades with size directly on the HSI is TH. Perhaps send him a PM in case he hasn't read this. However he may not use market orders that often and instead elect to use limit orders or hit the bid or offer directly.

CanOz

 

[white_goodman]

Thanks mate. What I'm really asking though, is: if you hit the market with a large-ish "market" order, do you get filled with the bid/asks that are in the book at the instant your order hits the exchange? There's no possibility of HF algos seeing your volume, and giving you ****tier fills than the bid/offer book contains at the instant your order hits?

if its there then you can hit it.. tbh it shouldnt be a major concern for you