IdealPro vs Futures

Discussion in 'Order Execution' started by granville, Jun 29, 2006.

  1. I've got a couple of systems that backtest anywhere from 3-12 pips/trade and hope to soon validate some of the more promising ones.

    What kind of slippage do you all get on CME FX futures (on the majors) and have any of you found slippage to be an issue with IB's IdealPro?

    I'm concerned with stop limit, stop market and limit orders.

    Thanks -
  2. depends of the size u trade, there should be no problem to get filled on limt orders for 20lots or so but only on the liquid pairs [eur/$-futures].
    for what concerns idealpro i dont have a clue.
  3. ddunbar

    ddunbar Guest

    On CME, like Bitstream said, with EURFX, no probs with slippage. However, the 1st 5secs or so after a news report, spread will go ~10p wide from last trade before news came out. So just avoid the 1st 5 secs. If you buy before news, adjust you stops a bit wider so you don't get stopped out during this time. Otherwise, spread is pretty stable @ 1pip.

    ON Idealpro, Stop limit and limit orders can go unfilled at times. Stops and market orders are filled 99.9% of the time. Slippage will be between 0 to 3 pips depending on market conditions for Euro. Slightly more for USD/JPY and GBP/USD. During news events, spread will widen also. Anywhere from 3 to 10 pips in the first few seconds. But there's more liquidity during news events on spot than on CME FX.

    If your system is looking to catch 3-12 pips, I'd recommend using CME for Euro, and Cable(GBP). But that of course depends on your size. First 30secs after news, you could easily do anywhere from 20 to 40 contracts ($2.5 to 5mil notational value) in a single shot. To do more might mean taking the rest of the lots a pip more up to say 80contracts. Over 80, maybe 2 pips.

    Ex. using a stop limit to enter a trade, and you're looking to buy 80 contracts, set your stop 1 pip from your limit. Over 100 contracts set your stop 2 pips from you limit. >200, set you stop 3 pips from your limit and so on and so forth.

    Or you can mix Spot and futures. Say you're looking to so 10million. You could buy 40 EUR/FX and 5mill cash.

    One note to keep in mind; On ideal pro, if your order is >$1mil, the probability of a "skipped over" limit order decreases as most banks(liquidity providers) like to deal with that as a min.
  4. Thanks for your posts..

    yes, I was wondering what sizes IdealPro would be most apt at taking - just as 100 lots in stocks can find liquidity, I was thinking it would be the same with fx on idealpro..

    This is good news about the low slippage in the CME euro fx contracts.. I have a feeling it will be the market I trade. I really don't "know" how idealpro works... I do not believe it is FIFO and the market makers never have to take my market orders... too much mystery. But I will at least ask them questions and give it a try.

    Have a great July 4th

  5. nut zure but globex should be even more liquid than cme; as for my experience [globex], i traded around news releases, although a few min afterwards, and execution has been immediate on my lmt orders.
  6. Ddunbar, Bitstream (or anyone else),

    I'm trading the news releases. When the news comes out depending on the difference between the consensus and the actual number I go short or long very quickly. My trades are usually less than a minute long.

    I am trading with Oanda right now but I would like to move to Interactive Brokers so that I can trade Index futures as well from the same account.

    For news trading do you recommend IDEALPRO or GLOBEX currency futures at Interactive Brokers? And what are the reasons for your recommendation. I trade only EUR/USD, GBP/USD, USD/CAD. I trade only 1 big lot ($100,000). All my trades are entered and exited by market orders.


  7. ids


    I really do not see any reasons to trade spot in your case. Futures are the way to go. The spot could be better if you want to take lesser size. Futures market is more transparent. The liquidity is also not a problem in your case.
  8. IDS,

    Are the spreads less with globex futures at the 4:30 AM EST (UK) news announcement time? Or at least about the same as with IDEALPRO?


  9. cscott


    I am trying IdealPro one more time, and I'm also having trouble with stops working. I would prefer to trade gbp/jpy futures on GLOBEX, but GBP/JPY futures are only offered on EUREXUS, and I hear that EUREXUS has low liquidity. Further, I don't even know what data package to subscribe to in order to see the data from EUREXUS spot forex. IB, please advise. thnx
  10. ddunbar

    ddunbar Guest

    EUREXUS is D.O.A.

    Are you sure you want to trade that cross on Idealpro? It's fairly illiquid. Liquidity is your friend. I'd suggest sticking to the majors.

    BTW, what kind of trouble are you having with stops? Slippage? Common to us all. There are some "work arounds." Including adjusting your trigger method from *default(which is double bid/ask) to single Bid/ask. There's no "last" on IdealPro so the other trigger methods do not apply. With the default,(double bid/ask) for a BUY, the two consecutive ASKS must be greater than or equal to your stop. With single B/A, for a BUY, only one posted ASK must be greater than or equal. Setting it to single should reduce slippage in most circumstances. The downside is that any momentary widening of the spread from a loss of liquidity or bad quote could trigger your stop.

    *I might have that backwards because on older versions (April '06 nad back) of TWS, default was double bid/ask. The current manual says that default for cash forex is single bid/ask. I guess my default remained through the updates. Check yours.
    #10     Jul 23, 2006