I love posts like this. First you start by saying you're a developer, as if this will now make use trust you more, along with the fact that you have clients, to make it seem like you're hot shit, and then you throw out something as stupid as this. If you're the developer, and these are your clients, and you saw that their fills are 4-6 ticks away from where they should be, you as the developer should be screaming about why. Either you're the worst developer, or this story is a lie, or you're stealing their ticks, making it seem like it has something to do with IB's fills.
I only place market orders. I only offered a fact I saw and did not speculate the reason behind it。 I don't know why there came up such a guy with shit words attacking whoever would speak out truth. Why telling the truth would invoke someone's hatred? I have a thread here and whoever with a normal mind can decide if I had been a developer. https://www.elitetrader.com/et/threads/c2-strategies-comments.306417/#post-4400176
IB's slippage is whatever the market does... you don't trade against them, but get the normal real time market prices. So, their slippage will be more or less the same as anyone else's... depending on how fast your own connections are. I trade manually and only now and then miss a limit-price....
@Gotcha, @bbpp's clients probably were looking at delayed data to get those fills... Either delayed because they run slow and shitty lines... or because someone's programming wasn't as good as it should've been
No. They were autotrading my signals. There are some delays between C2's fills and IB's fills, which I guess are not much more than one second. When I place my orders, first they get instant fills at C2, then if C2's fills are different than the fills at accounts at other brokers, C2's fill prices will change to the fill prices at accounts at other brokers. That's why I paid a lot attention at other brokers' fills.
Well you must be relaying then or something... because the only reason IB would lag a lot is because the client has a lag. If they trade on C2's signals, then Exch > C2 > client > C2 > Exch would obviously be quicker than Exch > C2 > client > IB > Exch... especially if their algo is running on C2 servers.
Yes, for sure something is up. After further clarification from him, its looking more and more like there are several seconds delay once all the info goes through C2, and then to the other brokers and such. But still, for a strategy like this to be coded with market orders seems a bid odd. Knowing this huge delay, and 5 seconds is huge, he needs to program it better with limit order, and just accept no fills. 4 ticks can really make or break a strategy. I have a flag go up anytime I have a 5 sec bar that is 4 ticks or greater, and this doesn't happen all that often (outside of the opening minute, or a stop run through a level, etc.). So to be getting 4-6 tick slippage means that for the most part, there is even more than a 5 second delay. I know that when I sit on my hands too long, and want to take a trade, and hesitate, and see price now 4 ticks in my direction, its not much too late to be getting in, and this is where some of these poor guys are getting their orders filled. Yikes!
Thanks for providing this. I certainly do enjoy going over stats. Wait a minute... looking over your results, you're obviously not trading the ES. My comments were directly about the ES. I'm not sure why I assumed this was the ES, but 4-6 tick slippage in the ES is what I was making reference to. I have no idea how these volatility indexes move, so if this is what you are talking about when mentioning 4-6 ticks slippage, then my apologies because we are clearly talking about 2 different things. Edit: I see the issue now. The 2nd post in this thread mentions the ES, and then when you posted your comment, you didn't specify, so I assumed this entire discussion was about the ES.
These days, unless you're talking an event, or some random spike 4 ticks (1 point) is rarely found in a short timespan. So maybe this is some lame system that only trade when there's a big spike move, and expects to get a good fill when it's impossible.