The current portfolio uses market orders because the number of pooled contracts is large and it would be detrimental to show this order on the visible trade book, other competing algo systems will always target large resting limit orders for liquidity purposes. There is also a tradeoff between more slippage with market orders but the guarantee of entry. Limit orders might have no slippage but you are not always certain to be filled, we have a large pooled order which would most certainly lead to partial fills for many users in most markets.
We work on a tick-by-tick basis and limiting slippage and fast execution is always our priority. We work on this constantly and we are monitoring every metric to ensure slippage is checked. The systems will seek liquidity and fire orders when the right liquidity conditions are met, they will attempt to achieve positive slippage in certain trades. Slippage and transaction costs are the number one reason why we don’t trade more frequently during the day session, liquidity and scalability is paramount when running a large number of pooled contracts.
On the ES you will rarely get more than 1 tick per trade and that is on over 300 lots/contracts. Someone trading 1 lot/contract with the right execution should get close to zero slippage on the ES, NQ and YM. On the NQ and YM with a large market order you might get 2 to 3 ticks slippage on entry and exit as an average over 100 trades, this is one of the challenges when trading a large contract size and not one lot/contract.