EUR Slippage

donaldduke · Nov 5, 2004

Today one of my native globex EUR stops slipped by 32 pips. .

For my type of trading a bad fill is better than no fill, so even if that happens a few times a year i dont mind too much.

Whats the biggests slippage others traders have gotton intra day on EUR, around Non Farms
or otherwise??

(I read in the past, over weekends you can get massive gaps in the Forex markets, upto a 1000 pips even!)

JonnyT · Nov 5, 2004

Around the NFA no doubt.

First Friday of every month 13:30 is the danger point.

Perhaps you could factor this into your trading plan?

JonnyT

Battler · Nov 5, 2004

JonnyT said:
Around the NFA no doubt.

First Friday of every month 13:30 is the danger point.

Perhaps you could factor this into your trading plan?

JonnyT

I certainly learnt that today on cable. Only looked away for what seemed like a few seconds but the damage was done. Luckily it was the demo account. Phew!

rog1111 · Nov 5, 2004

dd

were you using stop limits (native to globex) with very wide limits ? Or stop orders (not native) ?

rog1111

donaldduke said:
Today one of my native globex EUR stops slipped by 32 pips. .

For my type of trading a bad fill is better than no fill, so even if that happens a few times a year i dont mind too much.

Whats the biggests slippage others traders have gotton intra day on EUR, around Non Farms
or otherwise??

(I read in the past, over weekends you can get massive gaps in the Forex markets, upto a 1000 pips even!)

donaldduke · Nov 5, 2004

I was using a native stop limit with a wide limit (40 pips from the stop infact).

Slipping 30 pips, as long as it only happens five times a year or less is no big deal.

Just wondering what kind of slippage other traders have had on EUR, ive only been trading
EUR for the last four months..

donaldduke · Nov 5, 2004

JonnyT said:
Around the NFA no doubt.

First Friday of every month 13:30 is the danger point.

Perhaps you could factor this into your trading plan?

JonnyT

How do you factor NFA into the systems you are selling?

JonnyT · Nov 5, 2004

Around the NFA I've had two instances of failed fills. On both occasions the fill failures were on entry so really didn't cost anything other than potential profits/losses.

I use a limit of 0.0005

My testing suggests that you should trade the NFA days, despite the possible problems.

As a tip its worth looking at these days to see the patterns that can emerge. Todays reverse isn't that uncommon...

JonnyT

donaldduke · Nov 5, 2004

JonnyT said:
I use a limit of 0.0005

JonnyT

Do use a limit of 0.0005 on exit stop losses aswell???

If so you risk them not getting filled too...

bdholmes · Nov 5, 2004

My EUR stop entry fill at 13:29:59 today was @ 21 pips slippage :-(
When backtesting it's a good idea to use an average slippage per trade that takes things like the NFP into account. Almost all of my EUR trades are 1 or zero pips slippage, but after NFP announcements I've had 30+. When backtesting EUR systems, I set my slippage assuming a 1 point slippage per trade + 30 per month.

G-Man · Nov 5, 2004

The worst slippage I had was on the August NFP.

I placed and entry limit about 40 pips above the market 2mins or so before the number, with one exit limit for 50 pips profit, and another for 110.

My entry point was missed entirely and the actual entry was 150 pips, yes, thats 150 away from my desired price. Of course my broker still kindly gave me my exit limits, despite the usual, 'Well, the market never traded at that price', resulting in 2 losses of 107 and 47 pips.

Had to put this one down to experience about trying to play the news.

Incidentally, anyone else get chopped about today? Would make me feel a whole let better.

donaldduke · Nov 5, 2004

GMan,

Which broker you use?

G-Man · Nov 5, 2004

DD,

FX Solutions. Until that episode that had actually been quite good on fills but I expect it was people like me running straddle trades on the news which cost them a few $$$ and they decided only with most other brokers that they wouldn't continue to guarantee stops over volatile periods.

I guess they also think it gives them licence to try and get some of their cash back.

darktone · Nov 5, 2004

Bracket trading news is a thing of the past now no-one offers flash fills any more. When you consider such brokers were getting clobbered by folk trading once a month with 4 pip brackets at full size its little wonder why..

G-Man · Nov 5, 2004

Exactly darktone,

Usual market story though. Use something until it doesn't work, and then move on to something else.

G-Man

JonnyT · Nov 6, 2004

Never happened!

donaldduke said:
Do use a limit of 0.0005 on exit stop losses aswell???

If so you risk them not getting filled too...

I've never not received a fill on an exit from the market in over 18 months.

JonnyT

rog1111 · Nov 7, 2004

I cant comment on EUR, but for GBP I use 2 pip limits on my stop limit orders for entry and 4 for exit. I've missed a couple of entries but no exits so far, with 3 pips being the worst slippage, although I was lucky on 2 occasions with exits as the price went through then came back to execute. This prompted me to try non-native stop orders & my worst slippage since has been 20 pips, on a NFP day. With IB / Globex stop limit orders the limit order only comes in when it trades at your stop level, rather than the bid/ask being hit, which may or may not help matters.

I would agree with JonnyT that backtesting (on breakout strategies) shows that trading these days is generally positive over the long run, possibly allowing for re-entry after a stop out, depends on your system.

rog1111

donaldduke said:
I was using a native stop limit with a wide limit (40 pips from the stop infact).

Slipping 30 pips, as long as it only happens five times a year or less is no big deal.

Just wondering what kind of slippage other traders have had on EUR, ive only been trading
EUR for the last four months..

JTrader · Nov 8, 2004

G-Man

DD,

FX Solutions. Until that episode that had actually been quite good on fills but I expect it was people like me running straddle trades on the news which cost them a few $$$ and they decided only with most other brokers that they wouldn't continue to guarantee stops over volatile periods.

darktone -
Bracket trading news is a thing of the past now no-one offers flash fills any more. When you consider such brokers were getting clobbered by folk trading once a month with 4 pip brackets at full size its little wonder why..

Forgive me for being slow, but when it comes to hedging bets, arbitration etc. my brain seems to work slowly

.

While such strategies may no longer be workable - due to retail forex brokers abandonning their policy of guaranteeing stop losses - how would such a strategy be used/put in place?

Can somebody please provide an example/s and description/s of what they did, or would have done - to play news releases in this way?

Many thanks

jtrader.

JTrader · Nov 8, 2004

Thanks GJ

All pretty straight forward then.........

In your example, I suppose there is the risk that the market could trigger both your orders within the highly volatile period immediately following the news release - if it were to swing up and down?

Cheers

jtrader.

G-Man · Nov 8, 2004

Thx GJ,

I think you have to play it straight in this game. No point in trying to fool yourself when there are plenty of others trying to fool you.

News time is always risky, so you need to reduce your positions accordingly to manage that risk. As you say, the guys who were pissed were probably trying for a months booty in 2 minutes and got stung. I was prepared to get hit, and I did. If the NFP number was nearer the mark, I may have ended up +ve with less slippage. I still lost less on that trade than I hade made on the previous 5 months so I can't complain.

If you traded the news with the expectation of a trip to the Rarri showroom Saturday morning following a massive shock move, then you shouldn't really be trading anyway, you are just gambling. Though I wish good luck to anyone who gets in/out at their desired price.

Expect the worst and things can only come out better.

And remember, fear and greed. Thats all there is.

G-Man

JTrader · Nov 9, 2004

GJ -
Trust me on this, however hard it is trying to take your own positions and make money under those circumstances, it's much less fun quoting prices and trying to make a market or being the dealer on the end of an autoquote platform.

Hi GJ

this gives me the impression that you may have previously quoted prices and tried to make a market or being the dealer on the end of an autoquote platform - working for a forex broker or spreadbet firm (?).

I was under the impression that due to the huge size and liquidity of the spot forex mareket, most if not all retail forex brokers had automatic order processing - whereby there is no dealer sat on the end of an order waiting to confirm it - as may be the case with a spreadbet company.................Or is it the case that around major news releases, retail brokers who normally offer automatic/non-dealer intervention trades - manually confirm trades? Whats the situation, as you know it?

Many thanks

jtrader.

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