Ask Our Pros: Slippage in E-Minis

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Reader:

I am at times seeing as much as 0.75 of a point difference between the market and my "immediate execution" in the E-minis. I always thought that there would be little or no slippage with trading the E-minis, but with the disparate fills, I am wondering what's going on. Am I just paranoid and should back off the java, or is it possible to be "taken" by the firm offering my E-mini platform?

-- J.E.M.

Bo Yoder:

I actively trade the YM (Dow E-mini futures) as well as the ES (S&P 500 E-mini futures). In my experience, slippage is an incredibly rare occurrence. In fact, once I kept a log of my own slippage and experienced 180 round-trip trades in a row without taking one tick of slip!

If you are getting slipped for more then one tick in the ES, then I suspect you are dealing with some kind of data lag or broker issue. The only time I would expect to see the slippage you mentioned would be in the 60-second period following a Federal Reserve announcement or after some sort of shock news event, such as we experienced recently when that small plane flew too close to the White House.

I would run trace routes to test your Internet connection to your broker, measure your quote lag by comparing prices in real time on the phone with other traders and start working with your broker's tech-support crew to determine what the issue is.