Calculate actual slippage

Discussion in 'Trading' started by markd01, Mar 30, 2011.

  1. markd01


    Has anyone calculated their actual slippage costs?

    I swing trade equities and most of my exits are done as market on open. I'd like to get a figure, in percentage terms, that would define an average difference between what exchanges end up quoting as an opening price and the fill price that I get form my broker. I'd like to see an average %, accounting for positive slippage, negative slippage, and no slippage.

    I understand that there are a lot of variables, such as how much liquidity does one take, proportion of long vs short trades, market conditions, price of the issue (I've seen issues trading at around $2.00 exit with 1.5% slippage), therefore the larger the sample size the better.

    Thank you,

  2. If you are not getting the official open price then there is either a problem with your broker or you are not sending the correct order type(market to nyse vs market on open to nyse) There should be no slippage
  3. Rehoboth is right. Could it be that you're looking at the opening price from a consolidated data feed (which just about all of them are) instead of the primary exchange data feed (which would have the open price that you will transact at with an OPG order)?
  4. markd01


    I don't quite understand direct routing and opening auction, and yes, I was calculating slippage between my opening market order fill price and consolidated data feed official opening price...

    What order options would I use with TD Ameritrade to get a better fill for market opening price?

    Ameritrade doesn't have a dedicated MOO (Market On Open) option, default Routing to their "Smart" option, and Direct Routing to either ARCA (NYSE) or NSDQ seems only available with Limit and not Market orders. Also, I understand that orders must be received by 9:28:00am EST to be eligible for opening auction; if Time-in-Force is Day then orders are not sent out to exchanges until 9:30:00 am EST-- how could Day orders to eligible for an opening auction?

    Here's what I have tried on Ameritrade's order page:
    1) Symbol = MSFT (Nasdaq)
    Order Type = Market
    Time-in-Force = Day
    Routing = Smart

    2) Symbol = T (Listed, NYSE)
    Order Type = Market
    Time-in-Force = Day
    Routing = Smart

    3) Symbol = DNN (AMEX)
    Order Type = Market
    Time-in-Force = Day
    Routing = Smart

    4) Symbol = MSFT (Nasdaq)
    Order Type = Limit
    Time-in-Force = Day
    Routing = Smart or NSDQ or ARCA

    5) Symbol = T (Listed, NYSE)
    Order Type = Limit
    Time-in-Force = Day
    Routing = Smart or NSDQ or ARCA

    6) Symbol = DNN (AMEX)
    Order Type = Limit
    Time-in-Force = Day
    Routing = Smart or NSDQ or ARCA
  5. markd01


    Rehoboth, bs2167, and others:

    According to Ameritrade my orders were entered correctly:
    "TD Ameritrade has arrangements with routing destinations to have newly entered NASDAQ market and marketable limit orders received at least two minutes prior to market open participate in the NASDAQ Opening Cross"

    Below I give specific examples of the slippage that I have experienced. What are the reasons for it? Is it that I'm trying to take too much liquidity out of low volume stocks, which also usually happened to be lower priced? What are the opening cross share limits? What are some of the ways that you would try to limit this kind of slippage (specific limit order strategies, only removing x% from daily liquidity, etc)?

    a) my specific trades placed as MOO, entered previous night
    b) my fill price for my MOO order
    c) official consolidated open price, ex.
    d) slippage amount
    d) number of shares taking part in opening crosses, according to

    a) Sell 4000 UXG 1/25/2011
    b) filled at 6.14
    c) official open = 6.20
    d) slippage = 0.06 or -0.97%
    e) opening cross shares = 200 or 95% less than my quantity

    a) Sell 2500 MHGC 1/25/2011
    b) filled at 9.12
    c) official open = 9.30
    d) slippage = 0.18 or -1.94%
    e) opening cross shares = 1466

    a) Buy to Cover 1500 VHC 3/29/2011
    b) filled at 17.20 at 9:32:58
    c) official open = 17.00
    d) slippage = 0.20 or -1.18%
    e) This is an AMEX stock, looking at 1 minute charts,
    at 9:30:00 2502 shares traded between 16.99 and 17.12
    at 9:31:00 4050 shares traded between 17.10 and 17.19
    at 9:32:00 49799 shares traded between 17.18 and 17.44
  6. Dude you can't use a consolidated feed to check opening auction prices. Here's how it works: Each stock has one primary exchange listing. The one and only "official opening price" will occur on that primary exchange. So if you'd like to check the official open for a stock that is on the NYSE, you will need to check an NYSE only data feed (not consolidated). Your examples from Yahoo could be the first print >= 9:30 AM on any ECN. Any executable 'On-Open' order that you submit will get the primary exchange official open price 100% of the time. No slippage.
  7. Hello


    Can you tell me which stocks you make it a regular habit of trading? :D

  8. markd01


    I've looked at and did not find a free source to find the official NYSE opening price. Can you point me to one?

    The real objective of my post was to figure out slippage between the consolidated opening price and my fill price, in order to understand difference in forward testing my strategies and live performance.
  9. Measure it:
    1. Run two versions of your stategy at the same time, one "live", and the other forward testing.
    2. Compare the fill prices you get trading "live" with the fill prices you got forward testing. Once you have a large enough sample of measurements to see some consistency, you'll be able to determine a good value for slippage for the instrument.
  10. markd01



    I already started measuring my own slippage, like you outlined. I was looking for comparisons form others, with larger samples.
    #10     Apr 1, 2011