Shadowman540
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Hi all,
Just how much slippage are we talking about here?, pos or neg,,,
Just how much slippage are we talking about here?, pos or neg,,,
Conducted 3 trades today.One was executed at the stop loss and the other 2 suffered from negative slippage, although both was only 0.5 ticks trading DAX in a relatively quiet market.
As of yet still, no positive slippage since I opened an ETX account.
Vasco da Banana
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Just imagine how much they could profit by taking 50% extra spread on 66% of trades.
counter_violent
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Just as I suspected...only looking at one side...stop loss orders on open positions.
Now try setting some limit orders to close and see if you get any positive slippage.
If you are going to conduct any kind of meaningful experiment, then you must look at both sides.
L
Liquid validity
Not just limits either, you can get positive slippage on stops.
Has to be said its bloody rare though with market stop.
Usually a stop is triggered when price is against you, occasionally it ticks your
way just as order is filled.
Just found 2 instances of +ve slippage with MB in my trade list.
I run a parallel instant fill SIM alongside live acct. to monitor this exact issue.
The trades I found were both 0.4 points +ve slippage.
Thats only going back as far as 5.7.13, cba checking further.
I only monitor net slippage, not really bothered about individual trade slippage anyway.
Overall MB was around 0.3 slippage per trade last time I checked (have to analyse in excel).
How much of that is down to MB or Ninja I have no way of knowing (SIM fill is native to host, not demo acct)
Could be partially due to minor Ninja order generation and submission lag, guessing its mostly MB / connection lag.
Nothing untoward for anyone thinking that looks bad for MB - slippage is part of the game,
some will be due to connection as well.
Obviously I'd rather it was lower, but its hardly monumental...
531 trades in log to date - 159.3 points slippage.
531 trades to date stands at 2601 points profit after slippage.
Comms not included as I had to drop the ninja SIM comms value as it was
screwing up live trade PnL reporting.
MB comms are 2.50 base per side.
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timsk
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Hi L_v,
This is a little off topic, so apologies to the OP, but I've got to ask . . .
If I've understood you correctly (I may not have, of course!), you've done 531 trades in barely 8 weeks and you're paying $5.00 per r/t in commissions. Is that right? If so, I recommend you renegotiate that rate - or jump ship to another broker!
Tim.
L
Liquid validity
Lol no, 531 trades since I started automation 31.10.11.Hi L_v,
This is a little off topic, so apologies to the OP, but I've got to ask . . .
If I've understood you correctly (I may not have, of course!), you've done 531 trades in barely 8 weeks and you're paying $5.00 per r/t in commissions. Is that right? If so, I recommend you renegotiate that rate - or jump ship to another broker!
Tim.
I only checked trade log as far back as 5.7.13 thats all.
Thus far haven't got anything to work at a higher freq.
Are you saying you got 159 points negative slippage and 0.8 positive slippage?
L
Liquid validity
No the +ve slippage is just what I found over the last few weeks.
The 159 pts slippage is net aggregate of -ve & +ve slippage for the whole
trade sample of 531 trades from 31.10.11 to date.
I just checked server ping to Berkeley CA (nearest server to MB i could find) - 183ms compared to 42ms ping from host
to nearest server in UK.
So quite a lot of that is down to ping, order transmission lag due to connection in other words.
In fact its quite likely the bulk of the slippage is down to that 183ms ping actually...
Easy to see the benefits of co-location for the HFT mobs...
Thats why I don't want to go to a higher trade frequency,
even if I had something that worked with that many RT's.
Its also why I want LMAX support in Ninja 8, not just for LMAX spreads,
but lower server ping to LMAX in UK.
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new_trader
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Positive slippage on a LIMIT order? WTF?
L
Liquid validity
Why does that surprise you?
I don't use limits, but I would guess its very rare.
I've had +ve slippage on market stops, although as mentioned above,
may well be connection related, in which case not true +ve slippage.
new_trader
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A STOP order becomes a market order when the set price is touched, so you can't always be sure whether you will get a good fill or a bad fill.
A LIMIT order however is an order which specifies an order to be filled at a specified price or better. So I can't understand why anyone would use the term +ve slippage for a LIMIT order. Perhaps in FOREX, LIMIT orders can be filled at a worse price, but I have NEVER experienced it, ever.
L
Liquid validity
OK I get you, and I agree.
Yes Limit is specified price or better.
Incorrect terminology to call it slippage,
although it amounts to the same thing.
Vasco da Banana
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It would be interesting to see what the result would be if you did, or could, use ETX or another SB, where the slippage is artificial.
L
Liquid validity
Well theoretically you could test it with IG now they offer MT4.
Someone else can try that cause I won't be...
I installed MT4 once, it lasted a week before I uninstalled...
CV's been using ETX for ages with no complaints, so it can't be much of an issue.
Vasco da Banana
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All I can say is that they gave me more slippage than others, when there was really no excuse. They can get away wth it if most punters don't actually check.
So how much negative slippage in the same period?
random12345
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LV that's quite a lot of slippage you're seeing, but it really depends on the size you do and since you trade quite infrequently I guess it's less of a factor - if you were using stop orders, why would latency matter except for where you miss an order on a stop would be trigger submission error?
Or are you saying you don't actually use stop orders? If you just use market orders.. 0.3 is pretty good I'd say!
Positive slippage on fx stops is hella rare as you say since you've requested a fill at a potentially variable price, which will generally be matched within 3-5ms and the current b/a spread prices themselves tend to represent the thinnest liquidity prices by necessity. The prices around the mid will be the quickest absorbed and execution speed is all electronic platforms care about - the deeper liquidity is almost always going to be on prices outside of the spread so matching will mostly shift there. Positive slippage would require a deep sudden move against your entry direction within a sub 8ms time-frame.
Shakone
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Yeah the ping to US shouldn't be the problem unless he leaves the stops on his ninja rather than on their servers. Not unreasonable considering some of the dodgy practices that go on.
MB used to have quite a bit of slippage when I used them, positive and negative. I don't think I've ever had positive slippage on a stop order, or if I have, I didn't notice it.
There was a page I saw online of a programmer who claimed to have produced software so that you could use ninja on LMAX (for a fee of course), but I wasa bit suspicious and so didn't look further into it.
Hi Guys,
I am really beginning to see why I have always day or longer term traded on shares rather than FX. If you guys are actually looking at what happens right down to a timeframe of 8ms, I don't know how you can stand the pace........
Its all interesting stuff though :smart:
However, to get back to my original question slightly reworded:
If I am looking to day trade UK stock on the LSE where I set up my trades the night before using stop orders to enter the trade for me while I'm doing my day job, I need to know that whichever SB company I'm using isn't going to keep widening its spreads as that can trigger my trade on their artificial increase in the buy price and cost me more on the spreads in the process.
So which is the best SB company in the UK for me to use?
Please feel free to carry on your discussion about slippage though
Ian
I am really beginning to see why I have always day or longer term traded on shares rather than FX. If you guys are actually looking at what happens right down to a timeframe of 8ms, I don't know how you can stand the pace........
Its all interesting stuff though :smart:
However, to get back to my original question slightly reworded:
If I am looking to day trade UK stock on the LSE where I set up my trades the night before using stop orders to enter the trade for me while I'm doing my day job, I need to know that whichever SB company I'm using isn't going to keep widening its spreads as that can trigger my trade on their artificial increase in the buy price and cost me more on the spreads in the process.
So which is the best SB company in the UK for me to use?
Please feel free to carry on your discussion about slippage though
Ian