How to reduce slippage when stop loss is hit | Reviews of Brokers and Data Feeds


futures.io - futures trading strategies, market news, trading charts and platforms


Reviews of Brokers and Data Feeds


Review and discuss futures brokers, their requirements and features, or ask questions about brokers and data feeds




 

How to reduce slippage when stop loss is hit

  #5 (permalink)

Market Wizard
Gits (Hooglede) Belgium
 
Trading Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,963 since Sep 2013
Thanks: 2,413 given, 5,550 received


w00dmann View Post
Thanks for your reply.

You're correct. Let's say for example the stop is trailing price by 6 ticks and we are 30 ticks profit. Price retraces 6 ticks and the stop loss is hit. Instead of something reasonable like, say, 1 or 2 ticks slippage, I might see 7 or 8 ticks in a fast-moving market. I recognize this is an "occupational hazard" of stop losses, but there must be a way to minimize this?


Let me explain how a stop works.

Imagine the market is
1 contracts at 10.1 - 10.2 5 contracts
2 contracts at 9.8 - 10.3 6 contracts
3 contracts at 9.6


An you have a stop/loss for 5 contracts at 10.1

Somebody sells at 10.1

the market looks like :

--------------------- 10.2 5 contracts
2 contracts at 9.8 - 10.3 6 contracts
3 contracts at 9.6

This also triggers your S/L at market, which will get filled 2 at 9.5 and 3 at 9.6
you will have 21 ticks slippage on the 5 contracts


Yes you can use a stop limit order, this will result in

---------------------- 10.1 5 contracts
2 contracts at 9.8 - 10.2 5 contracts
3 contracts at 9.6 - 10.3 6

your 5 contracts will be waiting there as a limit order, no guarantee for a fill and exit

Follow me on Twitter Visit my Facebook Visit my futures io Trade Journal Reply With Quote
The following 3 users say Thank You to rleplae for this post: