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	Forums ›› Technically Speaking ›› Order Execution ›› Anyone have any performance data on IB's Arrival Price

ericholtman

Registered: May 2008
Posts: 17

07-10-12 10:40 PM

Looking for slippage data, i.e. quote was "X bid, Y ask" when I sent the order, average execution was "Z".

Thanks.

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sf631

Registered: Jun 2009
Posts: 104

07-11-12 03:32 AM

Have you looked at their website? Maybe here

http://individuals.interactivebroke...?f=smartRouting

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ericholtman

Registered: May 2008
Posts: 17

07-11-12 03:35 AM

Oh, I've seen the marketing literature.

I was wondering if anyone had any actual trading diagnostics they were willing to share.

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sf631

Registered: Jun 2009
Posts: 104

07-11-12 04:39 AM

Got it. I've long been interested in tracking the same for myself but it's not as straightforward as you'd like it to be. I'm frankly surprised that there's not a small lightweight piece of client software that could "listen" for trade messages and record the current bid/ask/mid condition along with trade price. I posted here a year or so back asking if others would be interested in such a product and heard crickets chirping

In the end I've defaulted to benchmarking my trades (ex-post) against end of day closing price, which you can get from the flex reports. Admittedly is far from perfect, but over huge numbers of trades I think it gives an idea of fill quality.

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abattia

Registered: Dec 2008
Posts: 983

07-11-12 08:55 AM

Quote from ericholtman:
Looking for slippage data, i.e. quote was "X bid, Y ask" when I sent the order, average execution was "Z".
Thanks.

To allow meaningful comparisons, aren't you also going to need (per symbol/instrument, and across all venues):
- average volume typically filled per some unit of time
- # orders typically resting at X - (n * minimum tick size) for n = 0 to ...
- # orders typically resting at Y + (n * minimum tick size) for n = 0 to ...
...?

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ericholtman

Registered: May 2008
Posts: 17

07-11-12 12:17 PM

Quote from abattia:

To allow meaningful comparisons, aren't you also going to need (per symbol/instrument, and across all venues):

Not particularly.

I already track skid in my trading system. So I know, if I place a market order, what the quote was going in, and what the VWAP is on the executions.

If I switch over to Arrival Price (or any other algo), I'd compute the skid the same way.

I'm not interested in "well, the book was X deep, the algo should have known to get off Y shares there". I'm interested in "for the trading I do, is algo A better than algo B".

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