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Hello, I am an energy fund manager and I am interested in daytrading the
CME's S&P 500 and the CME's Nasdaq 100 futures contracts. I am unsure about
the proper slippage estimations. The following are only based on my personal
observation of the tick data: (1) since the Nasdaq's bid/ask value is usually
2 full points increment of $200, the amount would be a minimum of $400 for a
round turn, and (2) since the the S&P's bid/ask value is usually a .20 - .30
point increment of $50 - $75, the amount would be a minimum of $100 - $150
for a round turn.
Please give me a reality check as well as persnal experience with regards to
fast and slow markets. Assume the contract quantities would be "medium sized
orders."
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