It can handle 1 tick slippage well (I even back test all those with slippage 1, and the real live traded results have showed better results than that), two not so well, three is too much I think...

OK, now build a distribution map of your entries and exits (by time of day) and then monitor live market around these times (unless you already have level2 historical data of course). You should see approx. 10 times the number of contracts your want to fill on a level to be sure that most likely your order would have been executed at this level. Then simply approximate the number of levels your order would have most likely passed through in live trading.

BTW forgot to ask: do you use limit or market orders? The aforesaid is of course relevant to market orders, if you use limits there's another problem of getting filled.

Hmmm. 10 times more than requested sounds quite a lot, I thought that I could take at least 50 % or something like that from that level.. Anyway I have an option to use either market or limit orders and market orders seems to work much better as otherwise a lot of entries are missed.

And I'm constantly looking L2 level as I'm running at least this Depth Of Market indicator (http://pvoodoo.blogspot.com/2013/11/pvdom-indicator.html ), which shows the levels at chart always. I think that is one of the most important one, even those nice fake orders can be seen there (although not so much with standard index products than commodities).

I am not sure about FDAX, but with all futures I've ever traded the issue is that mostly order books are populated by "teasing" orders: those used by market manipulators for simulating real liquidity. As far as I know it's impossible to tell a "real" order from a "teasing" one using level2 data available to most retail traders, however I think this question should have been better addressed to professionals working with direct exchange feeds. Anyway, unfortunately the assumption that you are able to consume 50% of the current liquidity at any time at any level is overly optimistic.

Marko,

I did not trade DAX futures. I am familiar with less liquid Live Cattle and Lean Hogs futures. The nearby contracts of the latter two currently may get the volume 20 - 30 and 10 - 20 thousands contracts per session. The mentioned DAXU14 gets 60 - 100 thousands per session. I am also familiar with more liquid corn 80 - 120 thousands, soybean representing similar as DAX range, and well more liquid contracts of Treasury Bonds 200 - 400, and already mentioned ES 1,500 - 2,000 thousands.

For some trading rules/systems entry or exit prices are known in advance. If this is a case, then a stop-limit order can be placed "much earlier" (sometimes several minutes in advance). For a retail intraday trader such an order gets a better chance to be filled. As extreme empirical observations from recent years a stop-limit order for one contract placed a minute prior possible price event, where the stop price is at your level and limit price is one tick apart, is filled for live cattle and lean hogs often at the stop price. If the price is not going "there", then the order is canceled or modified depending on the situation.

For the mentioned corn, soybean, treasury bonds and E-mini the stop and limit price can be often set at the same value. Again, this is 1 - 2 contracts.

If the same placing is done at the moment when the price is "jumping" between the bid ask level, then using a limit, even, for small number of contracts can leave you waiting for longs seconds or minutes or leave you without filling the order. On liquid contracts the price should go at least one tick closer to a better price in order to be confident that the order is filled. But you will likely get your "limit price" but not the better one. On less liquid cattle, hogs, wheat the price may go several times to a better price before the order is filled.

The considerations above are suitable for a small retail trader, who has a stream of tick prices and places orders "semi-manually" with an "average" futures broker within hours, when both pit and electronic sessions are open.

Best Regards,

Valerii