ES slippage? What has been your experience?
I have a strategy that does ~4 trades/day (open and close = 1 trade). Currently, for the back test, I've set slippage to 1 tick assuming that market orders will have a "0.25" slippage for open and close, respectively.
What has been your experience with "limit" vs. "market"? And if you went "limit", were you normally filled -- and if not how often were you partially filled? If you're trading "market" is two ticks per trade (open and close) realistic?
My algo trades between 10 to 30 contracts per trade.
Thanks!
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