Average Slippage of stocks

Discussion in 'Stocks' started by ChrisMMM, Jul 10, 2007.

  1. I posted this awhile ago and was just wondering on the accuracy of the statement:

    The answer depends on the share size of your market order. For small share sizes (100-500 shares) your average slippage will be small.

    For example, I trade Nasdaq and NYSE stocks with average daily volumes that typically exceed 500k shares per day. Over the last 20,000+ market orders, my average Nasdaq slippage is about 0.2 cents per share (with average share price of $29 per share => avg percent slippage = 0.0069%), and my average NYSE slippage is roughly 0.5 cents per share (with avg share price of $65 per share => avg percent slippage of 0.0077%) .

    To summarize, the slippage is not much, unless you are dealing with large orders relative to the liquidity of the stocks you trade.

    comments? accurate?
  2. Would that mean that the numbers are doubled for a round trip or is that one way? In other words is that 1 full cent round trip on 200 nyse for example? Im not sure if its as easy a figure to measure as it sounds. It could depend on the broker and the type of order used...
  3. that would be per side