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Slippage TF with Market Orders
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Slippage TF with Market Orders

  #1 (permalink)
Trading Apprentice
Nuremberg, Germany
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: TF
 
Posts: 10 since Oct 2013
Thanks: 6 given, 0 received

Slippage TF with Market Orders

Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

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  #2 (permalink)
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  #3 (permalink)
Elite Member
Lehrte, Germany
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: PTP / Rithmic
Favorite Futures: NQ
 
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TraderMaze View Post
Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

Hi @TraderMaze and welcome to futures.io (formerly BMT) !

On the Russel I usually get a maximum of 1 tick slippage on entry and most often no slippage on exit.

But of course this depends on market conditions such as volatility and liquidity.
IMO calculating with a slippage of 2 ticks RT should be fine.

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
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  #4 (permalink)
Trading Apprentice
Nuremberg, Germany
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: TF
 
Posts: 10 since Oct 2013
Thanks: 6 given, 0 received


Daytrader999 View Post
Hi @TraderMaze and welcome to futures.io (formerly BMT) !

On the Russel I usually get a maximum of 1 tick slippage on entry and most often no slippage on exit.

But of course this depends on market conditions such as volatility and liquidity.
IMO calculating with a slippage of 2 ticks RT should be fine.


Thanks Daytrader999

Have read in the forum that you use the VPS from Sam028.
So i wanted to know if your Slippage on the TF was with or without the VPS?

And you still use the VPS? If so, the slippage was a lot smaller by using the VPS?
Iím also from Germany and have at Speedtest.net a ping of 133ms to Chicago.

Thanks,
TraderMaze

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  #5 (permalink)
Elite Member
Lehrte, Germany
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: PTP / Rithmic
Favorite Futures: NQ
 
Daytrader999's Avatar
 
Posts: 1,159 since Sep 2011
Thanks: 1,137 given, 1,565 received


TraderMaze View Post
Have read in the forum that you use the VPS from Sam028.
So i wanted to know if your Slippage on the TF was with or without the VPS?

And you still use the VPS? If so, the slippage was a lot smaller by using the VPS?
Iím also from Germany and have at Speedtest.net a ping of 133ms to Chicago.

Thanks,
TraderMaze

Well, the slippage on TF mentioned above occurred on my home trading PC.

Yes, I still use one of Sam's VPS, it's mainly used for trading CL and NQ.
From my VPS there is a latency of about 1-2 ms and from my trading PC at home the latency sometimes is even worse than yours.

But bottom line, the slippage should be less when trading from a co-located VPS, but it does not necessarily has to be that way because this depends on the various factors like market condition, liquidity etc. as well.

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
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  #6 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
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Posts: 2,386 since Jul 2012
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TraderMaze View Post
Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

It depends a lot on when the order is placed. I have gotten 4-5 ticks of slippage on market orders placed right at the open at 9:30 AM.

I would say 2 ticks slippage per round turn is probably a good number to use. It might be a little conservative - your results might be better - but I think it is always better to err on the side of caution.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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