Where do you guys gather your slippage data from? Broker, your own, some other site? Just pharming for ideas since I can't find anybody who offers closed-end/ETF slippage data for sale
What do you mean "for sale"? Slippage on etf's depends on volume of the particular issue, public participation, volatility, sponsorship, etc, etc. It also changes with time as more people pile on. For example, 5 years ago when I was first trading IWM and its S&P sister, IJR, the spreads were virtually fixed. 20cent spread on one and 30-50 cent spread on the other. Hell, they had so little volume back then you couldn't even chart the damn things! I was trading them by charting their bid/ask prices. I traded quite a bit of those suckers and made like $60K in 2-3 mos. Today, the spreads on IWM are very small, but, so what, the volatility and "persistence/trendiness" are gone rendering them very difficult to make a profit. Also, when I look at sllipage, I think of 2 versions, slippage from bid/ask and slippage from last sale.
well, like the slippage (bid/ask) for QQQ wil be different than for something like the SPY. Altneratively, crude oil futures will have a different slippage factor to account for than brent. the question is where can i find slippage data for mutual funds (etf/CEFs).......I'm pretty certain its going to be from the broker, but I'm just trying to see if maybe there are some companies out there who record and monitor and analyze it for all sorts of commodities for a living.
I provide slippage data for any market/stock requested. The cost of this proprietary research is 5.95 per market/symbol. $100 minimum.
I see you are still around (the above post is 5 years old!), so ... What do you mean by "slippage from last sale"? Thanks.