Do you pay attention to slippage?

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

  1. cooker

    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

    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

    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.
     
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  6. cooker

    cooker

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

    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

    cooker

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

    tomas262

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

    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