Slippage in stocks

Discussion in 'Trading' started by Big Game Hunter, Aug 15, 2007.

  1. Ok lets talk about stocks for a bit. Basically i had dreams of building a large scale scalping operation running on a hundred plus symbols etc. So ive been watching the quotes and found to my horror that basically the mission ive been on has turned into a suicide mission. Basically my read on the situation is that a typical fill can be 13 plus cents worse than you expect to be filled due to an annoying habit the stocks have of just jumping through key levels a full 13 to 15 cents and THEN filling you. Obviously this is really as bad as it gets. Its akin to going through hell to get to your goal and then realising that the oasis that you thought existed in the desert is in fact a mirage. I cant overemphasise enough how badly shaken i am by this realisation. Theres really only one goal that i have in life and thats to be rich. I know my shit and thought I had everything under control.

    So enough of the bad lets see if I can salvage something from what is beginning to look like a colossal waste of time. Firstly are there stock symbols that dont exhibit this tendency. So for example if I was to trade IBM or BA (Boeing) will my buy stops be any better off or am i doomed to get raped for effectively 13 cents of extra overhead on ONE $%&*@#$ing round trip. Obviously this is a business that relies on very precise entries and exits to be successful. The issue is for me at least if i only trade 100 share lots of something to minimise the slip will it be enough or am i basically fighting a losing battle.

    To be honest I dont expect to get much in the way of intelligent responses from this system (ahem) but lets just say that realising that your basically doomed to live a life of penury and poverty because god prefers it that way is about the point at which I realise I dont want to be a part of this planet. Anyone who knows better can post otherwise dont waste my time...
    Sorry but obviously im really feeling ripped off at this point since I worked hard at building my talent to this level and from my perspective it seems like this a system built on shifting sands where in reality you cant win because the system simply moves the goalposts to a point where its no longer possible to beat it.

    Any comments? Takers?
  2. So, your "system" chases stocks into and out of a position all the time?

    Yes, the slippage and bid/ask "jumping" is horrible nowadays. I even had to cut down on the # of symbols my computers handle because they could not process the data. Prices probably jump around 2-3 times as much compared to a year ago. Tick backtesting on 1 year old data is probably useless.
  3. Also can anyone who currently trades the Dax tell me what there experiences are with slippage. If I trade a couple contracts only am I going to be able to avoid slip or is this the old story of the alchemist who discover how to turn lead into gold only to find it was all a mirage and hes better off dead because nobody wants to be poor?
  4. No i wouldnt say it chases so much as it lies in wait until just the right time and then gets long or short. Basically I have buy stops at key levels and when they trigger my stop is implied by the tape action.
  5. ? futures instead?......use limit orders instead? the most liquid contracts.........."key" price levels are obvious to everyone else, adjust your entry price to anticipate them before-the-fact. Your goal of making money is no good. Your goal should have more to do with your work ethic.
  6. O.k. The reality is that you cant use limit orders because theres no way to guarantee a fill. The problem is that if you miss a trade then whats the point of being automated. It completely destroys consistency and continuity. Basically sometimes you get filled, other times the price runs away from you and you miss the whole move. The only way to guarantee a fill is to use market orders. Which means you have to take the price the market gives you. Thats the problem as I see it. Regarding my work ethic noone works harder at being the best than I do. Ive put my soul into this endeavour only to find out that the pitfulls are so big that I may not win after all. The problem is if its impossible to win then why would people bother. Anyway im going to keep watching some other stuff until I find things that wont just pierce through umpteen price levels for no good reason.
  7. Actually I just worked out what I need to do. your right in saying Ill need to work harder. Basically I need to check the time and sales for each symbol I want to trade and try and figure out from that where the orders went through and THEN from that model the slip to ascertain what to expect over the course of a year. And then ill know with some degree of reliability what my overheads will be round trip. One of the reasons I was so pissed is that I figured Id have to watch EACH symbol physically to work out what sort of slip to expect. Obviously this is next to impossible and very time consuming. But there you have it the answer lies in the T&S. I think ill be ok now...thanks

  8. Taken from 1 Timothy 6: 9,10

    However, those who are determined to be rich fall into temptation and a snare and many senseless and hurtful desires, which plunge men into destruction and ruin. For the love of money is a root of all sorts of injurious things, and by reaching out for this love some have been led astray from the faith and have stabbed themselves all over with many pains
  9. just take the stocks with the most volume, lowest volatility (in $), and highest market caps, and you have already filtered out the candidates with lowest slippage.
  10. The thing is i remember reading a post where the guy said something like "over the course of last year i crunched all my numbers and my slip was like 0.6 cents". Now obviously that needs to be taken with a grain of salt but thats really what im looking for in my numbers. THAT kind of slippage I can deal with.
    I mean its really very simple but I cant help but feel that its going to be a difficult path full of dangerous obstacles and requiring piousness, devotion and purity of mind in order to overcome. Just kidding I couldnt help myself on that last comment lol
    #10     Aug 15, 2007