Forums - Anyone have any performance data on IB's Arrival Price

HOME FORUMS BROKERS SOFTWARE BOOKS CONTACT US

Your Account • Become a Member • Help • Search

	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.

Edit/Delete • Quote • Complain

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

Edit/Delete • Quote • Complain

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.

Edit/Delete • Quote • Complain

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.

Edit/Delete • Quote • Complain

abattia

Registered: Dec 2008
Posts: 985

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 ...
...?

Edit/Delete • Quote • Complain

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".

Edit/Delete • Quote • Complain

Receive an email whenever a new post is added to this thread by subscribing to it.

Rate This Thread:

Forum Jump:

Conduct Rules - Privacy Policy - Day Trader - Day Trader Forum - Best Trading Software - Sitemap

WHILE YOU'RE HERE, TAKE A MINUTE TO VISIT SOME OF OUR SPONSORS:
Advantage Futures Futures Brokerage & Clearing AMP Global Clearing Futures and FX Trading Bright Trading Professional Equities Trading CTS Futures Trading Software DaytradingBias.com Professional Trading Analytics ECHOtrade Professional Trading Firm	eSignal Trading Software Provider FXCM Forex Trading Services Global Futures Futures, Options & FX Trading Interactive Brokers Pro Gateway to World Markets JC Trading Group Direct Access Trading MB Trading Direct Access Trading	MultiCharts Trading Software Provider NinjaTrader Trading Software Provider OANDA Currency Trading optionshouse Option Trading & Education Rithmic Futures Trade Execution Platform SpeedTrader Direct Access Trading	SpreadProfessor Spread Trading Instruction thinkorswim by TD Ameritrade Direct Access Trading TradersStudio System Building & Backtesting Trading Technologies Trading Software Provider Trend Following Trading Systems Provider