This is a trading/market microstructure question rather than a ProRealTime coding question, so the honest answer is that there is no definitive number anyone can give you with confidence, but here is what is known from practical experience and market structure.

On the DAX futures liquidity at the open, the FDAX (the big DAX future on Eurex) is one of the most liquid equity index futures in the world. At the cash open (09:00 CET), liquidity is actually very strong because that is when the bulk of European institutional order flow hits the market. The order book depth at the bid and ask is typically in the hundreds of contracts within 1-2 ticks of mid. The mini DAX (FDXM, which is the one most commonly used for CFD-like sizing) is also very actively traded at the open.

On your specific question of 25 CFD contracts at less than 2 points slippage, a few practical points:

• 25 CFDs at 25€ per point is a notional of roughly 25 x current DAX level x 1€ per point per CFD, which is a relatively modest size. At a DAX level around 18,000, that is 450,000€ notional. This is well within the normal bid/ask depth at the open and 2 points of slippage is a very generous tolerance for that size. You would realistically expect less than 1 point of slippage on a plain market order at that size during the open.
• The caveat is the very first seconds of the open (09:00:00 to 09:00:05 CET). The auction mechanism resolves and the first few ticks can have a wider spread temporarily. If your strategy fires in that exact window, slippage can be higher than during normal continuous trading. After the first few seconds, the book refills quickly and you are back to tight markets.
• If you are trading CFDs through a retail broker (IG, Saxo, etc.) rather than directly on Eurex, your slippage is also a function of how your broker internalises or hedges the flow, not just the underlying futures market depth. Some brokers add their own spread on top of the underlying market spread, which is worth checking in their execution policy.
• The best empirical approach is to run a few test market orders of your intended size at your intended time of day and log the fill prices versus the mid at order submission. No simulation or forum answer will beat your own real execution data with your specific broker.

Bottom line: for 25 CFDs at 25€, staying under 2 points of slippage at the DAX open is very realistic and achievable in normal market conditions. The main risks are flash moves in the first seconds of the open and any broker-specific spread overlay on top of the underlying futures market.

So this is the one AI against the other and I HATE IT.

Just saying.

And I keep on saying : nobody is helped with this over the top data which can only be interpreted by the person behind the AI wheel (be that Nicolas, myself, juld63 in this case, or anyone.

I can read the responses of my own AI very well; it does not only know me – I also know “it”. But for the common listener – you’d get what you see in these two examples. To me it is both rubbish, unless I can throw my own sauce over it, which I can not do with Nicolas’ version.

All I could say is that his is from years ago, which is a danger in itself.

And mine ? what I can see of mine is that it will me more towards the real futures instead of CFD what the question was about, probably because I am into futures and not CFDs while juld63 IMO asks for CFDs explicitly. Maybe he still can make something of it, like “2 points are doable”. Why ? … hope for the best ?

To each his own, but for me the forum posts become totally unreadable. And that is not really because of a lack of knowledge. That is merely because all is out of context. The context of the poor poster with a simple question who gets the most wild codes and trailings and stops and what not what he all did not ask for and meanwhile drowns in words and terms he all needs to learn first before getting to the first step.

A forum / community IMHO is about people. People whom you trust for their capabilities or uncertainty in certain fields. With AI in between all become zombies. Myself obviously as well, which is because you quite automatically talk back to a robot like a robot.

Do you want this ? then please go ahead.

Is it avoidable ? probably not.

Should it be stimulated ? I am not so sure because I find myself shouting at my AI at least half of the day. Does it shout at me ? never (that won’t take long I suppose).

All ‘n all … If for example Nicolas copies something from his AI and it is plain wrong (chance on that I estimate at 50%) would I now per se tell him that he is off for a mile ? no I will not. This is related to respect. Meanwhile, however, the person asking the question is not helped. He/she learns the wrong thing quite explicitly and there will be no one left to correct it. Oh, another AI maybe.

/endOfRant

PS: The question itself from juld also seems not 100% free from AI influence. 🙂