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Slippage?
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Slippage?

  #1 (permalink)
Elite Member
NYC
 
Futures Experience: Intermediate
Platform: NT,IB
Broker/Data: IB
Favorite Futures: ES
 
Posts: 2 since Apr 2010
Thanks: 3 given, 1 received

Slippage?

Do you have any noticeable trade slippage experience in your current broker or platform?

For example, I have been hit half point slippage at about 11:22am this morning when trading ES in IB's booktrader. I have placed a stop price at 1364.75, but actually executed at 1364.25. IB's support said, there were many orders hit 1364.75, .50 and .25 within a second, so my order filled at 1364.25, not at my expected price 1364.75! Wow

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  #3 (permalink)
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Berlin, Europe
 
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jason View Post
Do you have any noticeable trade slippage experience in your current broker or platform?

For example, I have been hit half point slippage at about 11:22am this morning when trading ES in IB's booktrader. I have placed a stop price at 1364.75, but actually executed at 1364.25. IB's support said, there were many orders hit 1364.75, .50 and .25 within a second, so my order filled at 1364.25, not at my expected price 1364.75! Wow

This is a very unusual occurence, but as you can see there was a high volume bar, which occurred at 11:23 AM this morning. This bar covers the period from 11:22:00 AM to 11:23:00 AM..There were 24,259 contracts traded during one minute, which corresponds to a total of $ 1.65 billion.

I think that you became the victim of a large instutional sell order that took out several layers of the order book at once. In such a case you may experience 2 ticks of slippage even with ES.

Just to understand how unusual this volume was: If you want to find higher 1-min bars with a higher volume than this bar, and if you exclude the contracts reported around 10:00 PM (reported block trades), then these were the only 1-min bars with a higher volume that I could find for the entire month of April.

April 28, 03:31 PM, 31,940 contracts
April 21, 10:01 AM, 36,337 contracts
April 20, 09:31 AM, 27,848 contracts (market open)
April 18, 10:21 AM, 28,074 contracts
April 18, 09:35 AM, 25,297 contracts
April 18, 09:04 AM, 36,323 contracts
April 15, 10:01 AM, 25,778 contracts
April 8, 03:46 PM, 28,743 contracts
April 8, 02:57 PM, 42,212 contracts
April 7, 10:48 PM, 24,600 contracts
April 7, 10:46 PM 29,517 contracts
April 7, 10:43 PM 28,562 contracts
April 7, 10:42 PM 41,003 contracts
April 7, 10:41 PM 26,328 contracts
April 7, 10:40 PM 28,971 contracts
April 7, 10:39 PM 51,885 contracts
April 5, 11:59 AM 28,800 contracts

So I guess that you were just unlucky and cannot blame the broker.

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  #4 (permalink)
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Thank you Fat Tails for your explanation with supportive data. Let me shift a bit from blaming broker
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).
to the "stop order". From retail trader perspective, we all use some kinds of stop order to protect the our trade/acct, in a flash crash or non-crash market situation, how do we expect our stop order to be executed, in order words, how large the slippage we can accept? and more importantly how do we prevent the bad slippage in our next trading...

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  #5 (permalink)
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jason View Post
Thank you Fat Tails for your explanation with supportive data. Let me shift a bit from blaming broker
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).
to the "stop order". From retail trader perspective, we all use some kinds of stop order to protect the our trade/acct, in a flash crash or non-crash market situation, how do we expect our stop order to be executed, in order words, how large the slippage we can accept? and more importantly how do we prevent the bad slippage in our next trading...


You have to accept slippage as part of your trading cost. You can either

-> use stop order and accept the slippage that may results as a consequence

-> use stop limit order, which allow you to reduce or exclude slippage, but will not be guaranteed for execution

This is basic order mechanics. You will either get a guaranteed price or a guaranteed execution, but you will never get both of them.

ES is also one of the instruments with the highest liquidity, so the probability of encountering slippage is pretty low, but you just selected the right stop level today, to make it happen.

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jason View Post
Thank you Fat Tails

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