Slippage in HSI is a nature of the contract. It used to have average 2-3 ticks spread and was much easier contract to trade until summer 2007 (if memory serves me right), when it got opened to mainland. I listed in earlier posts, why I think KOPSI is the best Asian market index contract to trade.
All good points. Main reason I'd be willing to switch away from IB is data quality, I'd like to have unfiltered data for HSI (without paying E-signal $200/month for one freakin contract's data), which can be very whippy and I'd like to know the true edges of the swings. Regarding slippage, I think that's something you just live with when trading HSI. Most of my entry orders are on stops, so to control the slippage I use stop-limit orders that factor in two extra ticks of slippage beyond the stop level. If I get a good fill I feel lucky. Sometimes I don't get filled at all and I feel pissed, but usually if it blasts through my entry level without filling me it will retrace quickly and fill me. Another way to look at HSI slippage and get comfortable is the slippage to daily-range ratio. If using stops on ES, for example, you expect to only get 1 tick of slippage (the spread), which is approximately 1/40th of the average daily range (estimate... ES intraday range seems to be less than 10 points these days). The HSI daily range seems closer to 300 points (again, unsubtanstiated estiamate), so routine slippage of ~2 ticks is much less significant to one's profitability than crossing the spread on ES.
I agree, the data most definitely is terrible on IB. Here's a post I wrote a couple of weeks ago with no responses: http://www.elitetrader.com/vb/showthread.php?s=&threadid=196373 It seems like IB misses a bunch of volume and then "rolls" them up every 15 seconds or so. That's the only explanation I could come up with as to what those huge spikes in volume are. This bothers me immensely so I'm actively searching for another firm that can give me good quality data for HSI and K200. I believe the same data phenomenon occurs with the K200 contract as well on IB. It makes me feel as though I'm trading blind without having accurate volume stats, which is foolish. I didn't realize eSignal offers the HSI, I'll take a look at that, although $200 is out of my price range. I enter on stops as well, I try to catch an intraday runner which seems to occur every few days. Every other time I just hope for a break even. I think of it kind of like fishing. The only problem with HSI's terrible slippage is that it makes it hard to break even, so it ends up costing me, so the strategy is a bit tougher to stomach overall. I thought the slippage was because of IB, because IB always seems to get 1 tick slippage no matter what contract I use. I've compared 50+ times doing the same simultaneous trade between zenfire and IB, and found that IB very frequently has a tick slippage vs zenfire which almost never has slippage, so that lead me to believe that IB has something to do with it, but I guess HSI is a fast moving contract. K200 is a nice steady contract, but it doesn't have the potential for greatness like HSI, so the gambler in me naturally salivates at the HSI.
Regarding ZenFire, I contacted them last fall about getting on board with some Asian exchanges, in particular HKFE. They said they were working on it, but it was taking longer than expected due to some exchange politics. Take it for what it's worth. I agree though, I've traded TF in the past through both ZenFire and IB, and the slippage was always way worse on IB than ZenFire. For some instruments those extra milliseconds actually count.
Yes, these volume spikes used to drive me nuts, I could not figure them out. I do not think they are aggregations because if you put IB T&S next to what ever software you are using, you will not see them in IB but will see them in 3rd party. The way I got around this is to code that if last trade volume is greater than the nearest bid or ask (depending on transaction type), and the market did not move, just ignore it in calculations. Not sure what size you trade on KOSPI, but under 5-10 contracts there is rarely a slippage. I sued to trade with market orders but switched to stop limit orders with 0 offset. Slippage in HSI is not the biggest issue, the size it. It is extremely thin, and of you trade on high frequency intra day, the odds are against you. Regards, redduke
I suspect the volume spike that you see in IB's data is a result of the aggregation of trade volume. They used to send out total volume every few seconds or so and you can calculate the volume within such period by comparing the two volume figures at the begining and the end of such interval. My theory is that if ib lengthens the interval, the period volume becomes more spikey than before. here is the link to discussion on ib's data structure. hope it helps. https://www.interactivebrokers.com/smf/index.php?topic=83874.0
Does anyone know is there a decent economic calender for South Korea? I am used, that there are no major news, but about a week ago, there was a surprise interest hike and market got volatile. I always try to be flat when major news release happen. Thanks, redduke