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Order Handling to reduce Slippage
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Order Handling to reduce Slippage

  #1 (permalink)
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Order Handling to reduce Slippage

Hi Guys,

I was wondering if anybody could advise on how to improve my strategy.

My strategy currently enters long via stop order, however I have an issue with slippage. Slippage is quite unpredictable (ranging between 0 and 2.5 pips on G10 FX), despite I trade FX (liquid market) in small ticket size (Notional of 50-100k). I am trying to think a way to reduce slippage whilst maintaining the use of stop orders (or market orders) to enter a new position.

What i currently do is the following:
 
Code
If(long condition == true) 
   EnterLongStop(1,true, 1, High[0],”long”); // enter long on the break of the high of last bar.
I am wondering if there a way to get the order executed at market if GetCurrentAsk() = High[0] or something similar?

I am curious to know what solutions other have found to reduce slippage when entering via stop order (or market order) once a specific level is triggered

Thanks!

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  #3 (permalink)
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sburtt View Post
Hi Guys,

I was wondering if anybody could advise on how to improve my strategy.

My strategy currently enters long via stop order, however I have an issue with slippage. Slippage is quite unpredictable (ranging between 0 and 2.5 pips on G10 FX), despite I trade FX (liquid market) in small ticket size (Notional of 50-100k). I am trying to think a way to reduce slippage whilst maintaining the use of stop orders (or market orders) to enter a new position.

What i currently do is the following:
 
Code
If(long condition == true) 
   EnterLongStop(1,true, 1, High[0],”long”); // enter long on the break of the high of last bar.
I am wondering if there a way to get the order executed at market if GetCurrentAsk() = High[0] or something similar?

I am curious to know what solutions other have found to reduce slippage when entering via stop order (or market order) once a specific level is triggered

Thanks!

Hi,
a few things occur to me:

- is it worse when the last bar closes on its high?

- you might want to test out a stoplimit order

- do the profitable trades have more slippage? Might be a sign of a good trade.

- stops are executed according to the broker. With Interactive Brokers the default setting is that the price is attained rather than exceeded. Yours might be different.

- don't you ever get positive slippage?

i.e. I don't think you'll find a way to code for better slippage without altering when your strat wants to place an order.

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