Slippage in this market vs. other markets

Discussion in 'Automated Trading' started by garchbrooks, Mar 30, 2010.

  1. My slippage is almost always 0 as a retail trader. Is that just a function of this market having no volatility, or what? I've tossed countless trading systems out on the assumption that there would be a lot of slippage, but usually it's 0, and maybe a penny some of the time (maybe 15%?).

    What are you guys using for US stock markets as slippage parameters during backtests on retail (yes, retail -- I don't want to know your values if you are colocated) setups running off of a home cable modem or dsl?
  2. Who do you trade through? Are you entering limit orders or odd lots?

    Most retail firms internally cross orders (as well as some other quazi-prop BDs) so they probably give you the illusion of a good fill (zero slippage) because they already make the spreads & just pennied you out of their own inventory.
  3. I use TradeStation. Since I use their backtester, I consider it a "good fill" when it gets the price as close to the opening of the next bar. Typically, the fill is around the open, or off by a penny. The worst I've seen so far is a penny, but I've only been seriously using this platform for a few months.

    The reason this has implications is because I've thrown away a few strategies because a penny slippage takes them into zero-profit land; however, if I use a slippage of .003, or take the share count to 500 and drop the commissions to .005 per share, the strategy becomes fantastically profitable. For now, I've opted to just keep the slippage and commission margins wide and stick with the strats that give a wide buffer.
  4. sooner or later, you gotta trade your strategies with real money (even just small size). Simulating this stuff is not going to tell you what really happens
  5. Bob111

    Bob111 are in the world of mental you know that most of the brokers still round and post all transactions to a 2 decimal points,while reality is little bit with real money and you will understand
    many times you will see those 500 shares at ask,but when you try to buy all of them-someone magically steps in and buy them all right before you do..and you will end up with 10 shares partial fill..and every time you change your order-additional fees apply..
  6. One thing at a time, man. First, let me move out of my mom's basement.

  7. if you backtest in a liquid security you can't factor prints in because you might be 18k shares deep out of 20k shares and won't get the fill - just like if its not as liquid and the price moves away from you and you don't get the fill even though the last print was at your price.

    Its tough - at some level even testing 100shs isn't the same as sized up, but putting money in the market is the only way to for sure know how things will shake out.
  8. i run about 30 system short term systems with TS, 10-25 signals per day and i can echo all those comments.

    TS is terrible program for back testing short term trading idea. we have built our own middle ware with order chasing technology and slip is much more than you think or factor.

    we have managed to get our slipp to .005-007 but it has been a process

    also, wait until you see the back tics. strategy killers.