Diagnosing Slippage in Short-Timeframe E-mini S&P 500 Strategies
Summary
The document describes a strategy using 30-second bars on E-mini S&P 500 futures that performed well in backtests and walk-forward tests but lost in live simulation because small execution-price differences erased its edge. The question asks whether high-frequency trading access, specialized simulation accounts, or testing platforms could address the problem.
The replies point toward execution quality and more realistic measurement. One recommends considering limit orders, since market orders may suffer when liquidity is sparse, while noting that this could require a different strategy design. Another advises measuring platform latency and backtesting with tick-by-tick data to determine whether apparent opportunities survive at the speed they are traded. These are practical suggestions rather than a demonstrated fix: limit orders may not fill, latency alone does not capture queue position or market impact, and the document provides no controlled comparison or detailed execution model.
Key ideas
- A strategy that depends on small price moves can lose its edge to slippage.
- Market orders can be vulnerable to price gaps when futures liquidity is thin.
- Limit orders may help manage execution price but can change the strategy and may not fill.
- Latency measurement and tick-level backtesting can reveal whether opportunities persist at executable speeds.
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# Accessible HTF? (Slippage reduction) # Accessible HTF? (Slippage reduction) I designed an strategy that operates with 30-second bars on e-mini SP500. It works fine in the back-testing and the out-sample, also performs well in every walk-forward test I have tried. But, when it comes to a real simulation (using TradeStation as platform and broker), if fails miserably due to slippage, because a price difference of 0.25$ is enough to make it a losing strategy. I wonder if high-frequency trading can solve this problem, and in such case if there is any way to access to this kind of technology. Is there any broker offering simulated accounts with HFT capabilities? Any contest or simulation software to test my strategy? Thank you very much. ## Answer by icehac (score 1) https://quant.stackexchange.com/a/10910 I know it's not what you want to hear, but the smaller the time-frame the more limit orders should be focused on (which can change the design of a strategy entirely). Due to the nature of the futures markets, having a gap in liquidity can obviously cause discrepancies with market orders, but can guarantee some nature of being filled using limits. ## Answer by user2763361 (score 1) https://quant.stackexchange.com/a/10925 You're playing against people who would take the opportunities you're going for in microseconds or milliseconds. What kind of latency are you getting with TradeStation? You need to do two things: - measure this latency. - get tick by tick data and do a real backtest. Probably your opportunities are gone in 10 milliseconds so you need to do this.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.