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What is your avg slippage?
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What is your avg slippage?

  #1 (permalink)
Trading Apprentice
Odessa, Ukraine
 
Futures Experience: Intermediate
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What is your avg slippage?

Hi, guys!

I had 1-5 ticks slippage on the CL futures on the IB account (I'm using TWS with IB now) last couple of months.
I suppose it's not the good situation...
I'm not scalper. My stops are 20+ ticks.
I had the slippage of 14 ticks once (after the Trump's tweet, late night), by the way. It's record by now.

What typical slippages do you have on your favourite trading instruments?

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  #2 (permalink)
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  #3 (permalink)
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warriortrader007 View Post
Hi, guys!

I had 1-5 ticks slippage on the CL futures on the IB account (I'm using TWS with IB now) last couple of months.
I suppose it's not the good situation...
I'm not scalper. My stops are 20+ ticks.
I had the slippage of 14 ticks once (after the Trump's tweet, late night), by the way. It's record by now.

What typical slippages do you have on your favourite trading instruments?

It does not matter whether you scalp or not. If you place your stop in an area where - when the market gets there - a burst of orders take place, you are likely to experience slippage. This is more likely in thinner instruments such as CL, DAX or GC than in more liquid ones.

When you say last couple of months, on how many trades did you experience slippage? Did you experience it on market orders, being stopped out, or both?

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  #4 (permalink)
Trading Apprentice
Odessa, Ukraine
 
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Platform: NinjaTrader,TWS,TOS
Favorite Futures: 6E, 6B, 6A, 6J, CL, ES, NQ, GC, ZB
 
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xplorer View Post
It does not matter whether you scalp or not. If you place your stop in an area where - when the market gets there - a burst of orders take place, you are likely to experience slippage. This is more likely in thinner instruments such as CL, DAX or GC than in more liquid ones.

When you say last couple of months, on how many trades did you experience slippage? Did you experience it on market orders, being stopped out, or both?

I'm talking about my stop loss orders which is STOP MARKET orders.

Yes, you are right, that my stop loss orders was placed in areas where 1) price is sharply pushing against me, 2) potentially week depth of market (especially at the 5th of April at about 19-00 EST).

But in the last case (when I got 14-tick slippage) after my stop trigger price there was executed about 1700-2000(!) contracts before my stop execution... And I also had another 6-tick slippage and about 1000 contracts after my stop trigger price and before stop execution.

At both cases my stop was set >1hr before its execution.


Last edited by warriortrader007; May 10th, 2018 at 03:17 PM.
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  #5 (permalink)
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warriortrader007 View Post
I'm talking about my stop loss orders which is STOP MARKET orders.

Yes, you are right, that my stop loss orders was placed in areas where 1) price is sharply pushing against me, 2) potentially week depth of market (especially at the 5th of April at about 19-00 EST).

But in the last case (when I got 14-tick slippage) after my stop trigger price there was executed about 1700-2000(!) contracts before my stop execution... And I also had another 6-tick slippage and about 1000 contracts after my stop trigger price and before stop execution.

At both cases my stop was set >1hr before its execution.

14 ticks slippage sounds extreme, unless it was EIA or API data release time. I tend to get between 1 and 3 ticks slippage on stop losses for 20% of my CL trades.

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  #6 (permalink)
Market Wizard
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xplorer View Post
14 ticks slippage sounds extreme, unless it was EIA or API data release time.

The large slippage of 14 ticks mentioned by the thread opener occured after an event that might be considered as important by the trade in a similar way as data release times, and it occured during the overnight session ("after the Trump's tweet, late night"). I assume that this combination is the cause for the hight slippage.

Typical slippage of course is much lower, but if you place a stop market order you have no choice when the stop gets hit.

Best regards, Myrrdin

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  #7 (permalink)
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myrrdin View Post
The large slippage of 14 ticks mentioned by the thread opener occured after an event that might be considered as important by the trade in a similar way as data release times, and it occured during the overnight session ("after the Trump's tweet, late night"). I assume that this combination is the cause for the hight slippage.

Typical slippage of course is much lower, but if you place a stop market order you have no choice when the stop gets hit.

Best regards, Myrrdin

Thanks Myrrdin


Last edited by xplorer; May 11th, 2018 at 04:59 PM. Reason: Re-read first post...
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  #8 (permalink)
Market Wizard
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@warriortrader007 Did you set TWS to use the software or exchange held stops? If you don't make the setting right then it will use a software stop which can result in huge slippage. I cannot say if this is an issue for you: but I'd strongly advise to open account with dedicated FCM to verify.


warriortrader007 View Post
Hi, guys!

I had 1-5 ticks slippage on the CL futures on the IB account (I'm using TWS with IB now) last couple of months.
I suppose it's not the good situation...
I'm not scalper. My stops are 20+ ticks.
I had the slippage of 14 ticks once (after the Trump's tweet, late night), by the way. It's record by now.

What typical slippages do you have on your favourite trading instruments?


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  #9 (permalink)
Market Wizard
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warriortrader007 View Post
Hi, guys!

I had 1-5 ticks slippage on the CL futures on the IB account (I'm using TWS with IB now) last couple of months.
I suppose it's not the good situation...
I'm not scalper. My stops are 20+ ticks.
I had the slippage of 14 ticks once (after the Trump's tweet, late night), by the way. It's record by now.

What typical slippages do you have on your favourite trading instruments?


What's your average over say 30 trades? I would expect about 1.5 ticks average.

14 ticks is a lot, but it definitely happens.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #10 (permalink)
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As mentioned you can reduce slippage if you live in a country a long way from the exchange by having a broker that holds the stops on their servers, nearer the exchange so the time for the order to get there is reduced, rather than some brokers/platforms that hold the stop loss orders on your computer.

Trading, ideally structured, is a vehicle for expanding consciousness, not damaging it. - Brett Steenbarger

Last edited by matthew28; May 13th, 2018 at 04:51 AM. Reason: Edited out probably incorrect point
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