Day trading? swing trading? Long term trading? ES is the most liquid product in the futures industry. Seldom do I have problems with fills.
But if the market is moving fast in a volatile day and you buy/sell at market, say 50 contracts, or 20 if you will - not all of the contracts are filled at the same price, some will be 0.25 or 0.50 difference (Slippage)
Most of the time I buy or sell at limit - Fills for the ES only take seconds even in forward months. ( Forward months: I trade forward months with options that have more than 4K interest and usually place the order over the phone, then wait for the fill, it only takes a minute if that)
I hope this answers your Q.
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