Discussion in 'Automated Trading' started by elit, Aug 31, 2006.

  1. elit


    Hello everybody! I hope somebody is able to answer my questions since I want to devote my weekend to systems testing. I'm a newbie to automated trading mind you,

    I'm wondering how important a factor slippage is when testing a system that is based on daily or weekly data? My data is EOD and i also want to test my system in weekly in metastock also.

    I understand that slippage is important when daytrading short time intervalls but is it also as important when the system is designed to "catch the big moves", i.e. with daily/weekly data?

    Also how many percent slippage should the system be tested with, in the case of it being important to consider? (daily/weekly) (Or points..., FYI I'm using metastock)

    And I guess that different brokers have different slippage, and that brokers with less slippage charge more in commission. Does it pay to choose a broker with less slippage but with more slippage? I guess it's a question of position size as well...?

    And one more thing, would it be effective to use limit orders in order to avoid slippage? Or would it just mean sometimes order wouldn't be filled?

    I would appreciate any help and insights! Have a great weekend all!
  2. This Slippage stuff is crap.

    Man you have just as good a chance to have slippage go in your favor.
  3. Whenever you run a backtest look carefully at volume * price. If this is low, spreads are likely high, as will slippage be. Many stocks that trade at decent volume today, might not have in the past, so slippage is not constant but varies over time.
  4. you obvs. don't understand market microstructure very well.
  5. minmike


    I had a similar question for end of day data on s&p 500 companies how much slippage should you expect if you are just using MOC or MOO opens? Also, how big of size can you trade without experiencing increasing slippage? Thanks
  6. So how many times do I have limit orders in with brokers and I end up getting a waaaaaaaay better fill than where my stop was?
  7. That 'way better fill' as you call it, is an illusion. Once you learn the mechanics of microstructure, you will see what I mean.


  8. Explicate or shut up.
  9. Slippage : stocks: 0.02 $ per share per side for liquid one and 0.03 $ for others.

    futures : One tick per side or one tick round turn for eminis.

    forex : spread + one pip round turn.

    Don't forget to use slippage for stop, market and limit orders( question of unfilled orders ... ).

    If you trade with daily and weekly charts, it will not affect your trading too much.
  10. If you trade on the primary market, or retail, slippage will rarely work out in your favor, that's all I meant.
    #10     Aug 31, 2006