I was wondering what actual slippage on IB looks like paper vs live execution for highly liquid stocks such as AMZN, AAPL, SPY etc. going all in or out at once with marketable limit order (current price +- 10 to guarantee immediate execution) for a big size (1000+ AMZN) right now I am seeing huge slippage on paper trading ($1+) and I am wondering if that's a too pessimistic scenario.
In real-time trading with real money, there is ALWAYS more slippage than you perceive from paper trading.... some from execution, but most from the trader himself. Advice... if you find somthing that appears to "work on paper/sim", trade it live for a bit but SMALL. You will learn things you had not previously accounted for..
The problem is that price often moves too fast and although the volume is there, your price may take time to fill. If you have an algorithm, I would simply keep updating a limit order to last fill price until filled (vs a market order) or do a timed cancel + liquidation. I did the latter because it was easier, not sure how feasible it is to do the former, but could do it because it was an algorithm.
then you go MKT just do a mkt order.. i mean if yu are afraid you will miss the move and you are expectign a decent move go mkt. what is the big deal about going mkt you are guranteed to get filled. asap you are talking.. spy very liquid apple very liquid.. amzn not as much but how many shares of amzn ru mobing.. a 1000 is 1.5 million dollars worth.
%% Sounds too pessimistic for SPY, penny spread, almost always; . But $1 allowance + could be fun, in that you would get ''price improvement'' so to speak, mostly.[ A slight risk....... in some areas, sometimes a slight power blip, slight enough to knock a computer off ; but not long enough knock a light bulb off] I closed a derivative on a platform that specialized in derivatives, market order, yesteryears. To my horror, something goofed . I called them up + they said ''dont worry about it we're working it........'' I said OK, because they had never ripped me off before. It was something NOT as liguid as SPY, but liquid in the past. Took them hours, but monster price improvement. LOL now, not funny then. Good thing i did an exit different from most of my uptrends.... NOT a short term trade.
Something is off. Are you using smart route? Do you see the orders delayed prior being "sent?" Where do executions come from? If I send 100 Spy order, I get bid/ask. If I send 1000 Spy order, maybe a few cents. Figure out at what stage the delay occurs and watch TnS.
SPY slippage is in fact pretty close to 0 actually. AMZN buy/sell 1000 (ib paper trading): AMZN Slippage: 1.254704 filled at 1652.735296 AMZN Slippage: 0.921981 filled at 1684.521981 AMZN Slippage: 0.144307 filled at 1676.195693 AMZN Slippage: 1.688686 filled at 1541.718686 it averages around 0.80 for the last couple weeks which is worse than TDA's in live trading
Got to watch TnS. Unlike ToS, IB has time and sales you can look back at. I suspect you are getting a piece of every level as it is cleared. Try sending market order, it may give you better fills (on simulator that is).
Any company you are going to see the best fills paper trading, if it's slipping that much paper trading live has got to be pretty ugly
This is true in some/most but not all cases. Sims do not (most likely) account for hidden liquidity or dark pools, so on a liquid stocks, you may get better fills live(as OP is actually experiencing).