Do you pay attention to slippage?

Discussion in 'Order Execution' started by cooker, Jan 9, 2022.

  1. cooker


    I reviewed my IBKR transaction cost report for last year; I incurred 30 basis points in slippage on average and paid 32.5 cents per 100 shares commission. It works out to around $55,000 in costs, or 8% of my gross profit last year.
    naturecumforexlover, Fonz and d08 like this.
  2. Hi cooker
    Just curious, what exactly is “ slippage”?
  3. cooker


    Fill price vs the bid/ask midpoint.
    naturecumforexlover likes this.
  4. Robert Morse

    Robert Morse Sponsor

    I would not define slippage as the difference between the midpoint and the bid/ask and then you enter market orders and expect better. I would define slippage as entering a market order and the impact of your order moves the price or when you miss the opportunity to buy/sell at the current best prices.
  5. deaddog


    Slippage to me is the difference between my stop price and where I get filled.
    No slippage on buy orders as they are limit orders, although I may get filled for less in some cases.
    VicBee and Fonz like this.
  6. cooker


    I'm more interested in using it as a measure of transaction costs for backtesting/modeling.
  7. deaddog


    8% seems like a good number if that's your historical number. It seems high to me as I'm looking at basis points.
  8. cooker


    I trade some stuff thats not terribly liquid.
  9. tomas262


    5-10% given up on slippage, hate it :D
  10. d08


    This market infrastructure sucks. Imagine if you were dealing with a rapid auction type market where slippage would be >1%.
    #10     Jan 9, 2022