Future brokers, IB, trading platforms & slippage

Discussion in 'Order Execution' started by Fonz, Feb 17, 2021.

  1. Fonz



    I think we all could benefit from our own experiences regarding the best package when trading futures.
    I am not taking about analysis, margin rates, or commissions, but our experiences regarding the (very costly) slippage we all have when trading futures and using market orders.

    So, what I suggest is that we give only our own opinions, regarding the package we use, and if possible by providing examples.

    Thank you all!
    Rui S likes this.
  2. Fonz


    Not a member of an exchange
    Discretionary (nothing automated), from Florida

    I know a lot of things can impact market orders like internet speed, distance to the exchange, hardware, etc. That being said, in my opinion:

    Interactive Brokers (Equity indices), I will give a 5/10.
    Slow markets = 1 to 2 ticks
    Fast markets = 2 to 7 ticks

    Tradestation for YM, I will give a 6/10
    Slow markets = 1 to 2 ticks
    Fast markets = 3 to 6 ticks
    US treasury 30y = great
    Commodities = My stops are very large and only here in case of a major catastrophic event. So I almost never use a market order.

    Cannon + Gain + Multicharts, for YM and NQ, I will give a 3/10
    Slow markets = 2 to 3 ticks
    Fast markets = Just a guess car it can become very instable 4 to 9 ticks

    Well, that was my opinion and feelings about market orders with different combos that I used.

    One of my friends told me that becoming a member of an exchange, avoiding all IBs, avoiding all brokers when the marketing is on reduced margin and low commissions, and finally having the best internet and hardware could reduce a lot the slippage effect.

    Your thoughts and experiences?
    Last edited: Feb 17, 2021
    Rui S likes this.
  3. rb7


    Slippage depends a lot on the size you're trading and the market volume and the market speed (slow market vs fast market).
    If you're trading 1 contract vs 50 contracts at a time, the slippage will not be the same.

    It also depends on speed, meaning the time it takes for your order to hit the exchange and vice-versa.
    That time is split in different stages:
    - The physical distance between your workstation and your broker's servers.
    - The physical distance between your broker's servers and the exchange's servers
    - Your trading gears
    - Your Internet/network health/condition (speed, number of hops, ISP, etc.)
    - Your broker's gears and OMS system

    Based on the above, I think it's very difficult to compare the slippage between different brokers.
    Personally, I'm using IB (automated), and with decent size and market orders, on regular market condition, I'm seeing 0-1 tick slippage. I have 50 ms latency with IB servers. On fast market, it can be just anything from 1 to 8 ticks.
    Rui S and Fonz like this.
  4. Fonz


    Thank you Rb.
    Because I use 3 different solutions and 3 different brokers, it was easier for me to compare.