What % of daily volume in a trade do you start to run into significant slippage?

Discussion in 'Order Execution' started by yakyakgoose, Mar 19, 2016.

  1. d08


    You're not saying anything, "big % of volume at a good price" is like saying "I like to buy low and sell high". He's asking what the percentage is.
    #11     Mar 22, 2016
  2. Correct...I dont care about the fair market value of the stock or even what the company is. My system is all statistically based but assumes I get the open and close prices.

    So an update, the last couple of days I have had 1.5% slippage at the open only trading about 13k in a trade. Stocks have been about $8 and daily volume around 1 million shares for the day.

    Suretrader does not allow "All or nothing" trades so my trades have been going through quickly but in about 15 segments. This morning (Shorting) the first segment was only 1 share and at 6.13, the next was at 6.1 for 100 shares with a gradual climb up to 6.08. it almost seemed like some buy orders were yanked between 6.13 and 6.1 and then resubmitted very quickly to get the lower price based on my large short block sitting there.

    Thoughts, or any strategies to reduce this slippage?
    #12     Mar 22, 2016
  3. d08


    I thought you are participating in the opening and closing auction? Continuous market is a different story, I wouldn't trade it in the first 4 minutes due to the spread.
    #13     Mar 22, 2016
  4. Thanks for the replies d08..I think there may be some gaps in my understanding.

    Im currently using suretrader and I originally was doing my opening and closing orders with "At Open" and "At Close" orders. However, occasionally these orders would initiate on their own early. For example, an At Open order would suddenly go through 5 min before the open or an At Close order would go through in the middle of the day. Suretrader was pretty useless in telling my why this is happening and just says its an error.

    So my solution was to open market day orders in premarket so they were pushed through as soon as the market opens. If Im doing this does that mean Im not part of the open auction?
    #14     Mar 22, 2016
  5. d08


    Better move to a reputable broker, what you're describing doesn't make sense to me. Only way an opening auction order can execute mid day is if the stock was halted until that moment. Opening auction can't ever be before 9:30:00 EST. For IB you need to find two fields "time in force" and "order type" to control this, I can't speak about SureTrader because I've never used it. Ask them about opening and closing auctions, they need to know about that and if they can't tell you then they're completely incompetent.
    #15     Mar 23, 2016
    777 likes this.
  6. Theyve been pretty much a horror story and have cost me quite a bit of money, however, I can avoid the pattern day trader rule and my account is still increasing. I need a bit more to switch. My system is somewhat volatile and can have 35% drawdowns. I dont want to switch and then have it drop down below the pattern day trading minimum.

    The whopper of an experience I had with them is when they conducted a 1.5k wire transfer out of my account that I didnt initiate. I contacted them and they said it was a mistake and put it back but wouldnt give me any more info. They wouldnt even give me free trades for that stunt.
    #16     Mar 23, 2016
  7. dratsum


    Why not measure the actual volume? The solutions I offered are tainted with tough love (for good reason) but that doesn't mean they're not the most accurate, timely and easy to implement....or that u can't modify your wind up so future solutions aren't peppered with bait that takes you off point and away from the truth which is knock and the doors often open.

    Bait ...but seriously also. Your estimated volume, above in the quote is ridiculously silly. Measure it and u will see.
    Last edited: Apr 3, 2016
    #17     Apr 3, 2016
  8. 777


    Your draw
    It means you will not get the opening print.

    Probably you will have greater slippage than you think.

    Your 35% drawdown mention does not have enough information but I will speculate that you should drastically drop your position size; take your time with this.
    #18     Nov 5, 2017
  9. 777


    Far too many shares.
    #19     Nov 5, 2017
  10. What solutions have you offered? Yes, people can measure actual historical open auction volume (assuming they have access to bloomberg). So you find out a stock trades 40k shares on average on the open. You decide you want to trade the max size that will result in < 0.05% slippage. What size is this? That's what the OP is asking, and it's not an easy question to answer.
    #20     Nov 5, 2017