[RT] Fw: [aaft_ta] E-MINI FUTURES CONTRACTS

["Charles Meyer" <chaze@xxxxxxxx>]

Group-
 
FWIW; and in the spirit of sharing this 
information.
 
Chas
--------

 
Yes 1 tick is $10.  I occasionally get 
slippage in my favor of 1 or more ticks.  
 
In summary I have been trading the Russell for 2.5 
months (averaging 1.5 round turn trades/day) and my average 
slippage/contract/ROUND turn has been $15 using stop orders for the majority of 
the fills.  I rarely use a limit order. 
 
The volume of this market has been increasing in 
the past many months, but I think the slippage is due to it moving extremely 
fast at times.
 
I hope this helps.  
 
----- Original Message ----- 
<BLOCKQUOTE 
>
  <DIV 
  >From: 
  Charles Meyer 
  To: <A title=aaft_ta@xxxxxxxxxxxxxxx 
  href="">aaft_ta@xxxxxxxxxxxxxxx 
  Sent: Friday, July 16, 2004 3:01 PM
  Subject: Re: [aaft_ta] E-MINI FUTURES 
  CONTRACTS
  
  Hi Patrick-
   
  To verify that we are communicating; I 
  assume you are saying the following re the e-mini Russell?
   
  *  1 tick value = $10 or 1/10 the contract 
  value of $100 per point
  *  Worse case is $40 slip value; or 
  40%
  *  60% of the time you get the price 'as 
  is'
  *  40% of the time you get 10% slippage; or 
  1 tick
   
  Am I understanding correctly what you are 
  telling me?  Thank you again.
   
  Chas
  <BLOCKQUOTE dir=ltr 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    <A title=futures@xxxxxxxxxxxxx 
    href="">Patrick 
    To: <A title=aaft_ta@xxxxxxxxxxxxxxx 
    href="">aaft_ta@xxxxxxxxxxxxxxx 
    Sent: Friday, July 16, 2004 1:59 
    PM
    Subject: Re: [aaft_ta] E-MINI FUTURES 
    CONTRACTS
    
    Regarding the slippage issue, I can only 
    comment on slippage intraday.  The worst fill I ever had was 4 
    ticks/contract using a stop order.  About 60% of the time I get the 
    stop order filled at the stop price, if not the slippage has 
    been only 1 tick.
     
    Pat
    <BLOCKQUOTE 
    >
      ----- Original Message ----- 
       
       
      <DIV 
      >From: 
      Charles Meyer 
      
      To: <A title=aaft_ta@xxxxxxxxxxxxxxx 
      href="">aaft_ta@xxxxxxxxxxxxxxx 
      Sent: Friday, July 16, 2004 9:55 
      AM
      Subject: [aaft_ta] E-MINI FUTURES 
      CONTRACTS
      
       
      Group-
       
      Please; I would like to know the exact dates 
      that the e-mini futures contracts switched from one quarter to the next 
      in
      years 2001 through 2004.  In this 
      connection; I'm looking for something more specific than "check it by 
      volume".
       
      Also; can anyone please comment on what % 
      slippage factor is reasonable to expect if I were to trade maximum (2) 
      Russell 2000 e-mini contracts at the close?
       
      Thank you for your thoughts or 
      comments.
       
      <FONT face=Arial 
  size=2>Chas







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