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Slippage
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Slippage

  #1 (permalink)
Trading Apprentice
Vancouver, Washington
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: Crude CL
 
Posts: 3 since Oct 2011
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Slippage

Perhaps I do not understand slippage but it seems amazing to me in this computer age that we even have slippage considering how fast computers are supposed to be. In my opinion, every order should be taken at each specific price limit order entry. Perhaps the orders are still done by hand to match each buy and sell?

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
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It's because computers are so fast that we have slippage. You and somebody else both send a market order to buy at X. The somebody else is faster, and wants to buy 100 lots, so not only does he buy all the X's but also all the X+1's, then your order arrives at the exchange and instead of buying Xs you get X+2's.

Maybe obvious, but to reduce slippage try and avoid low liquidity times (don't trade gasoline at midnight), high volatility times (don't trade NatGas during the EIA storage release) and at prices that everybody else is targeting (don't buy stop on a break of the 200 day high)

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  #4 (permalink)
You did what?!
Indianoplace, IN
 
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You can also enter on limit orders which only fulfill at the specified price or better... but there is the chance of not getting filled.

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  #5 (permalink)
Trading Apprentice
Simcoe Canada Ontario
 
Futures Experience: Beginner
Platform: Sierra Chart
Broker/Data: AMP
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Marketable Limit Order

You can also do a marketable limit order. Basically, a limit order at the market price which puts a limit to the slippage you can experience.
Eg. Stock has ask at 10.12. You can put a buy limit order in at 10.13 so the worst fill you can get is 10.13 if, for example, 10.12 gets taken out before your order gets to the market. So it's basically a market order with a defined maximum slippage amount, if that makes sense.

Cheers,

Freebird

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  #6 (permalink)
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Tradersword View Post
Perhaps I do not understand slippage but it seems amazing to me in this computer age that we even have slippage considering how fast computers are supposed to be. In my opinion, every order should be taken at each specific price limit order entry. Perhaps the orders are still done by hand to match each buy and sell?

Slippage is not always a result of technology but of the liquidity of the products you trade and the time of day.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #7 (permalink)
Elite Member
knoxville tennessee usa
 
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if slippage maters trade a higher time frame.


Tradersword View Post
Perhaps I do not understand slippage but it seems amazing to me in this computer age that we even have slippage considering how fast computers are supposed to be. In my opinion, every order should be taken at each specific price limit order entry. Perhaps the orders are still done by hand to match each buy and sell?

if slippage and commission is slowly eating up your account . trade of a higher time frame so you take less trades. if you can not trade of 240 min and 60 min. chart.... it is unlikely you can trade of 500 tick or 3 min. chart , volume foot prints and or a dome with a order book heat map.

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