liquidity loss of ES futures?

[Da Xu]

Dear friends,

 

Is there any statistics of the liquidity loss of ES futures? Specifically, for example, in a demo account, even if the ES future price is not changed, you buy(sell) then sell(buy) a contract of ES future, you lost 0.25. This is 0.25 is considered as liquidity loss. My question is what is this number in average for real accounts. Thank you.

 

 

Best,

Da

[Eugene Kononov]

You may have noticed this line of code in StrategyES.java:
double bidAskSpread = 0.25;
This is used in backtesting, forward testing, and optimization modes. In real trading, based on my experience, the slippage with the ES is slightly worse, but not by very much.

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[Allen Whitt]

Slippage will depend on how many contracts you're trying to get off, the time period in which you're trying to get them off, and whether or not you're resting or crossing. .25 (=$12.50) is the tick size in the ES, so that line is equivalent to assuming you cross in both directions - ie you buy the offer and you sell the bid.

[Da Xu]

 

How many contracts are you trading?

 

Da