Slippage Calculation

Discussion in 'Automated Trading' started by tommo, Apr 17, 2011.

  1. tommo



    In the past I have built a lot of breakout/trendfollowing type systems and the potential slippage is horrible as your orders are usually being executed as a wave of people start getting stopped out of a trade. I find these systems are generally only profitable on a long term basis where your average trade expectancy is at least 15-20 ticks to make up for the slippage.

    However, there is a huge edge in the futures market which is that you can buy on bid sell on offer. If, in an ideal world, you were to buy on bid sell on offer all day long your slippage is effectively zero which massively increases your profitability.

    However you still have to pay the bid ask spread when you get stopped out (at least 1 tick).

    In your experience what would you say is a realistic slippage amount to factor in per trade when entering on limit orders on a liquid contract such as S&P, Treasuries etc?

    I know, of course there is no definitive answer, but would help to know what kind of numbers you work with,

    777 likes this.
  2. xiaodre


    Hi landlubber. What size would ye be trading, ar?

    Ye know, the number of caaaarrrrrs?