I trade in Tradestation and I'd like to learn more about reducing slippage as my account size and trading volume grows. I'm trying to understand the best methods and advanced order types for reducing market impact. Are there books, videos, other websites anyone would recommend? For example, if I want to trade 100 lot, is there a way to work this in Tradestation to trade 20 lots every 5 seconds at market? Or with limit orders is there a way to work 10 at the limit price, and then once those get executed, this would trigger the remaining orders at market? Thanks for any recommendations!
Well in the live markets you are bound to experience slippage and delay in execution there are chances that with limit orders you entry is not executed it could be because of the markets quick movements or spreads of your broker IMO you can use market order to execute partials of your order in series like you mentions 20 lots with intervals as soon as one order is fulfilled you can place the next one.
When you say 100 lot do you mean 10k shares or 100 shares? When you trade in larger size, you should learn more about market structure and market impact. I'd recommend starting with some basic series 55 material to learn about how orders interact with exchanges and ECN/ATS. If you already know the basics, you can shoot me a message. Since you're trading for your own account, you're typically lifting asks, so there are benchmarks that professionals use (and you will want to use them as well) to track a "good price" such as VWAP, decision price, or close. Depending on how large your size is relative to ADV, you may need to adjust your trading strategy. For example, you might split up your order into two -- a VWAP algo order (25% of order) and a MOC order (75% of order) -- if the trading is thin. This is what sell side traders do (come up with strategy and facilitate order) for their buy side clients.
I usually buy stop-limit orders, for example buy stop 21.3 limit 21.35 OTO conditional orders are useful to automate stops
%% Plenty of liquidity @ open + close; but MOC, while popular with elephants+ good volume= missed the whole days move. TQQQ, qqq have plenty of liquidity. Price ladder[preplanned order ] can work well with tqqq,qqq.I seldom use entry market orders for entry, especially on a day like this ,as of1;33 cst. SCHW has block trade tab + may charge more for a block trade. Looks like TS maybe does not charge more for ''broker assisted'' ACTUALLY, qqq TQQQ may hit a lot of entry limit orders, except not so much on a tight trending day. Assume any/any size market order gets worse slippage; but seldom a problem for me on qqq, TQQQ........
OSO conditional orders seem like the best road to go down. Thanks, I'll look into these! Are there any books, YouTube channels or other content that focus on execution algorithms?