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Interactive Broker: Slippage. What is your experience
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Interactive Broker: Slippage. What is your experience

  #1 (permalink)
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Interactive Broker: Slippage. What is your experience

I'm designing my trading signal with MC.

Result is not bad, about 5 time my initial capital for the last 12 months with EURUSD. But, I realised that i may not have taken the slippage in consideration. MC express is slippage in $ while i was thinking it was in pip.

Since my position varies for each trade, from 25 000 to 500 000 units, what kind of slippage value should i put on.

What is your experience with IB.

Any comments greatly appreciated

Have a good day
Martin

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I would say at least 2 pips. Just monitor the bid/ask spread, what is the normal spread? And in live trading, do you get filled at the bid/ask or is the spread wider?

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I would say at least 2 pips. Just monitor the bid/ask spread, what is the normal spread? And in live trading, do you get filled at the bid/ask or is the spread wider?

Mike

2 pips is a bit pessimistic, it will be 1 tick most of the time, 1.5 sometimes, and less frequently 0.5 and 2 pips.
So I'll say a value between 1 and 1.5.

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sam028 View Post
2 pips is a bit pessimistic, it will be 1 tick most of the time, 1.5 sometimes, and less frequently 0.5 and 2 pips.
So I'll say a value between 1 and 1.5.

I think that is very true of futures, but since he is trading forex I wasn't as sure how tight the IB spreads are.

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I would agree with @sam028. During the Tokyo session, the EU spread has been between .5 and 1.5 pips on IB. However, adding in the commisions on 25K can effectively make the spread 2 pips

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sun post View Post
I would agree with @sam028. During the Tokyo session, the EU spread has been between .5 and 1.5 pips on IB. However, adding in the commissions on 25K can effectively make the spread 2 pips

Thanks you guys

My question is really, what is your experience with IB slippage on Forex.
I had put a value of 20$ /trade, but it may not be enough

Since my average calculated position is 300 000 * 2 pip = 60$ per trade to be use. This should be the average worst situation.

This is a challenge. My equity curve was supperb with 20$, nearly 400% gain over last 12 month. With 60$ as the slippage value, the curve is still posiive but look like a rollercoaster for the wildest kids. Not good for the stomach:puke:hehe!


Back to the dawing board
Martin

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arjfca View Post
Thanks you guys

My question is really, what is your experience with IB slippage on Forex.
I had put a value of 20$ /trade, but it may not be enough

Since my average calculated position is 300 000 * 2 pip = 60$ per trade to be use. This should be the average worst situation.

This is a challenge. My equity curve was supperb with 20$, nearly 400% gain over last 12 month. With 60$ as the slippage value, the curve is still posiive but look like a rollercoaster for the wildest kids. Not good for the stomach:puke:hehe!


Back to the dawing board
Martin


Martin
A few month back - I have tested an automated forex strategy with IB in sim mode only. On a 100K position my slippage varied from 5$ to 20$. pr transaction.
The best way to test you strategy is to try it out in sim mode and compare the results with back testing
Hope this helps
rgds
Michael

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Thank you Mengelbrecht

Good idea

If you had 20$ slippage for 100k, then 60$ for 300K is realistic. I need to go back to my rules to be able to get a positive equity curve with that slippage value.

Martin

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