The fills that I am getting are terrible

Discussion in 'Order Execution' started by ProgrammerGuy, Aug 22, 2007.

  1. I have trade station. The orders from trade station are then routed through a 3rd party broker, and then sent to interactive broker.

    I look at where my tradestation says I would have entered an exited and then I look at my trades at IB, and the prices that I am filled at are just terrible terrible terrible.

    I'm trading stocks that do 1.5 million + and have a lot of volality.

    I enter all odrers at market. I have read this before but, would it be beneficial in terms of less slippage to enter a buy order limit above the ask price.

    Would this help at all. I'm just getting killed in terms of slippage.

    For example, the following are the quoted closes and below are the executions. I'm long. The first column are the entries, the 2nd and 3rd are the exits. Is this normal?

    SIGM 36.46 36.87 36.67
    36.49 36.82 36.61
    -0.03 -.05 -.06
  2. Try to limit in and market out.
  3. the question is am I nuts for day trading stocks that do greater than 1.5 m dailiy volume and that are very volatile?
  4. jsmith


    SIGM - Avg. Volume 1,233,790 (from Yahoo)
    Try 3+ Million Avg. Volume and assume you are losing the spread as slippage in your backtests.

  5. so would it be correct to say you shouldn't day trade anything less than 3 million shares?
  6. You have another concern, IMO, and that is if you're really seeing those 20+ cent ticks in a $30 stock, that your triggers are being triggered at one price and executed at the next price (I assume you're using TS for some sort of triggering mechanism). If that's the case, you really need to find other stocks, IMO.

    According to my Redi, there is only 6 orders of 100 shares each between each dime or so on this SIGM symbol.

  7. thank you for your help don.
  8. maxpi


    Some of us discovered problems with the IB sim account. Is that the real account you are working or the sim one?
  9. Hey, it ain't just stocks. The speads on NQ are unbelievably volatile, sometimes going to 4 ticks or more momentarily. I had to code up a study to capture and display it because I couldn't follow on the ticker, it was so fucking fast. So you think you've got a nice profit on a simple little scalp, and you fucking break even.
    #10     Aug 22, 2007