Slippage in Equities

[Ovue Grey-Areben]

Can anyone be kind enough to provide ways of tackling slippages in trading.I find them a real nightmare I would be most gratful for any assistance.

 

[jmreeve]

How do you define slippage?
What is your order size?

 

[Ovue Grey-Areben]

How do you define slippage? Basically it's the difference in price i expect to be filled at, and the price i am actually filled at.

What is your order size?

Usually 5000- 20000

 

[dcraig1]

Usually 5000- 20000

Of what ? It's obviously directly related to liquidity.

 

[Mr. Charts]

OGA,
Since you've posted your question on the US stocks area, I assume you are trading 5000 - 20000 shares.
To be brutally frank, you really shouldn't be trading that sort of position size if you have a slippage problem as you are not in as much control of your money and postions as you should be.
Are you using direct access into Nasdaq & NYSE ?
I hope you are not trading 20k of GOOG.......
Richard

 

[jmreeve]

Use a trading platform that supports algorithmic trading and choose a suitable algo for the
conditions you are trading. If you have a firm benchmark at the start of the trade then some sort of implementation shortfall algo might be suitable.

You could also look at trading facilities such as ITG Posit and the other dark pools.