Slippage, market orders and the cost of a thin book

Module 1 announced it: on the NQ, slippage is a fact of the trade. This lesson measures it, budgets it and gives the execution rules that reduce it without removing it.

What a market order costs

A market order of size T crosses levels until served. On the NQ in an ordinary session, with about forty contracts per level:

The three execution rules

Entry on a limit, always. All the course's cards enter on a retest, on a limit, a few points above or below the absorption. If the retest does not come, the trade is not taken (except card 4's variant, at reduced size). A market entry on the confirmation costs on average 2 ticks on the NQ, $10 per contract, which seems little; on a card whose stop is 20 points and target 65, that is 1% of the target and 2.5% of the stop on every trade, a hundred times a quarter.