Slippage

Could anyone give me some advice here. One of my algorithms trades the long side only on the S&P and Russell2000. I have found that i am often getting slipped by a tick on entry and sometimes also on exit. As this is a short term system traidng from 1 min charts this can amount to a large loss in revenue for myself...

If i had a direct coonection at a prop firm would this significantly cut my slippage? By slippage i am referring to my entry and exit prices on my Esignal charts compared to my filled price via IB. Will the bid and ask play a significant role in this?

Cheers Charlie

why not enter limit orders?

peto said:

why not enter limit orders?

Click to expand...

because for a limit order the price must move through the limit price. This means u still have a tick of slippage in affect as u get filled on the bid price and not the Esignal chart price.

if the price touches your price and then moves back down to the stop u are obviously stopped, but if u use market orders u would be filled. I have limits programmed for my system as well as market orders but decided market was prob better.

Tell me if i'm wrong..........

SCFX said:

because for a limit order the price must move through the limit price. This means u still have a tick of slippage in affect as u get filled on the bid price and not the Esignal chart price.

if the price touches your price and then moves back down to the stop u are obviously stopped, but if u use market orders u would be filled. I have limits programmed for my system as well as market orders but decided market was prob better.

Tell me if i'm wrong..........

Click to expand...

As far as I know, slippage isn't the difference between your chart price and your fill price. Slippage is the difference between your order price and your fill price. So you are getting yourself confused, I think. You need to find out what price is being quoted on the chart and compare it to the globex quotes for the ES. There is normally an 0.25 point spread between the BID/ASK prices, but at times can be 0.5 points. You need to account for this when placing STOP/MKT orders.

your fill with a limit shouldnt get slippage - only price improvement. (rare)

sure, you may not get a fill with a limit, but thats the price you pay. you cant have it all. chance of a fill largely depends on the time you enter the order in the queue. sooner the better for fifo.

so heres the issue - you get slippage resulting in less profit as you insist on paying the spread (twice). how about getting no slippage, less fills (ie pay less commission), and a tick improvement (or 2 if using limits to get in and out)? what would be the difference in your pnl?

simple.

SCFX said:

Could anyone give me some advice here. One of my algorithms trades the long side only on the S&P and Russell2000. I have found that i am often getting slipped by a tick on entry and sometimes also on exit. As this is a short term system traidng from 1 min charts this can amount to a large loss in revenue for myself...

Cheers Charlie

Click to expand...

If the difference is always against you then you need a better broker. Otherwise the difference will average to zero over the longer term.

By the way this is not slippage in the usual meaning of the word. You are either getting charged 1 tick by your broker or there is a delay in your data.

Ron

SCFX said:

because for a limit order the price must move through the limit price. This means u still have a tick of slippage in affect as u get filled on the bid price and not the Esignal chart price.

if the price touches your price and then moves back down to the stop u are obviously stopped, but if u use market orders u would be filled. I have limits programmed for my system as well as market orders but decided market was prob better.

Tell me if i'm wrong..........

Click to expand...

You are wrong come to think of it. You would only get slippage on STOP orders, not Market Orders. So if you are entering Market orders then your 1 tick discrepency means you haven't properly accounted for spread. I would also check to see if your price chart is quoting BID, ASK or LAST price.

ronblack said:

If the difference is always against you then you need a better broker. Otherwise the difference will average to zero over the longer term.

By the way this is not slippage in the usual meaning of the word. You are either getting charged 1 tick by your broker or there is a delay in your data.

Ron

Click to expand...

I'm have Esignal.. anyone have a view in the speed of data for this platfrom. I thought IB were one of the better brokers for speed of execusion. I'm not working in a prop firm and so i'm trading over the net from home with a 24 meg line... could this account for the slow data?

ronblack said:

If the difference is always against you then you need a better broker. Otherwise the difference will average to zero over the longer term.

By the way this is not slippage in the usual meaning of the word. You are either getting charged 1 tick by your broker or there is a delay in your data.

Ron

Click to expand...

I'm have Esignal.. anyone have a view in the speed of data for this platfrom. I thought IB were one of the better brokers for speed of execusion. I'm not working in a prop firm and so i'm trading over the net from home with a 24 meg line... could this account for the slow data? I think Esignal works off last price