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Who trades Crude without slippage with which broker?
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Who trades Crude without slippage with which broker?

  #1 (permalink)
Trading Apprentice
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Who trades Crude without slippage with which broker?

Im trading crude oil with Amp futures. Awhile ago i got heave slippage. Had a word with Amp and they helped sort out my problem. My internet connection was to slow so i took it up over 6Mbps which solved the problems. But yesterday it started again with a 1 tick slip on nearly every stop i had. Today it continues. So im a bit fed-up with Amp and want to go elsewhere. Who trades Gold or Crude where and do you get slippage?( once in awhile is ok but with 20 contracts 1 tick really hurts)
Thanks

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  #3 (permalink)
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This may be because the volume of the 05 contract is already half of the 04?

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MadManmos View Post
Im trading crude oil with Amp futures. Awhile ago i got heave slippage. Had a word with Amp and they helped sort out my problem. My internet connection was to slow so i took it up over 6Mbps which solved the problems. But yesterday it started again with a 1 tick slip on nearly every stop i had. Today it continues. So im a bit fed-up with Amp and want to go elsewhere. Who trades Gold or Crude where and do you get slippage?( once in awhile is ok but with 20 contracts 1 tick really hurts)
Thanks

slippage is part of the nature of trading in my experience. haven't seen any solution that experiences slippage of near 0. i see slippage of a tick and sometimes more every day that i trade. if you use stop orders then slippage is almost always expected. using limit orders can even experience slippage but not nearly as much as stop orders. also, there are times when there are gaps in price that cause slippage with stop orders and also cause limit orders to be jumped. again, everything i've said is based on my experience and not intended to be a technical perspective.

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Bandwidth is very unlikely to help reduce slippage. Any common DSL or cable modem these days has many times the needed bandwidth to receive chart data and send executions.

The issue is latency. The higher the latency, the more likely you will see slippage. You can measure latency at a site called Pingtest.net - The Global Broadband Quality Test. Hit the Chicago server and look at your ping times. A good connection inside the USA will be around 50ms or less. If yours is 100ms then are at twice the disadvantage for your orders being filled than the other guys that are at 50ms.

There is largely not much you can do about this, short of leasing a server near the exchange in Chicago.

You can also reduce latency by using a wired connection at your home between your PC and modem/router, instead of wireless. Also make sure you don't have any big downloads going on consuming all your bandwidth in the background, as some DSL and cable modem providers penalize you in terms of latency when using a lot of bandwidth on the line (the latency increases as bandwidth consumption goes up in real-time).

Now, aside from that your broker may have some sort of issue with his feed that is causing you slippage. But for futures brokers this is probably not very likely as they are regulated.

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  #6 (permalink)
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slippage on CL trades, in and/or out on stops is a natural part of the process. matter of fact, most electronic futures contracts other than ES and ZY / ZB will have one-tick or greater slippage many times.

with current market volatility thru the roof on crude oil futures, not unusual to slip a few ticks during program-surge moves. no big deal... your profit targets should be +50 cents to +100 cents on every trade anyways. a cent or two of slippage means nothing and is merely part of the trading process

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I need to revise my post. I hadn't slept yet and made an error when I started talking about latency. What I said about latency is true for things like market orders, like "click -> market order -> execute". But if you place a buy stop or sell stop into the market ahead of time, then latency is not going to effect your slippage.

Slippage simply occurs as a natural by product of the way orders move, in instruments like CL (especially if you are buying breakouts or selling breakdowns) you have a far more likely chance for slippage as there may be a gap (spread) in such situations on the breakout/breakdown.

Most platforms allow you to set a stop limit order with an offset to go to market, like for example a 4 tick offset so if the stop limit isn't filled inside of 4 ticks it turns into a market order. Naturally there are advantages and disadvantages to doing this.

I will tell you then when I trade CL, I use almost exclusively buy stop and sell stop (market) orders, not limit orders, when trading breakouts and breakdowns. But I use limit orders almost exclusively for fading the breakouts and breakdowns when we are range bound.

Mike

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  #8 (permalink)
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I scalp CL and can tell you that the recent slippage has nothing to do with your broker. It probably has nothing to do with your connection either. I've seen bid/ask spreads jumping as high as 6 ticks on crude over the last week or two. If using market/stop orders, you will experience slippage. The only way to avoid it is to stop trading during unusually volatile market conditions.
Besides, your edge is based upon statistical performance under a certain set of market conditions. Unless you have statistical evidence that your edge persists under these volatile conditions, then you are gambling by trading during an anomaly.

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  #9 (permalink)
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Slipknot511 View Post
I scalp CL and can tell you that the recent slippage has nothing to do with your broker. It probably has nothing to do with your connection either. I've seen bid/ask spreads jumping as high as 6 ticks on crude over the last week or two. If using market/stop orders, you will experience slippage. The only way to avoid it is to stop trading during unusually volatile market conditions.
Besides, your edge is based upon statistical performance under a certain set of market conditions. Unless you have statistical evidence that your edge persists under these volatile conditions, then you are gambling by trading during an anomaly.

+1. Current slippage on CL is result of increased volatility of the crude contract in the last few weeks AND higher interest of the HFT guys in this market.

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These guys entered the crude market with full force:

RSJ (Prague, Czech Republic based) is one of the world’s largest algorithmic traders currently trading in London (NYSE Liffe), Chicago (CME), and Frankfurt (Eurex). RSJ is the largest algo trader at NYSE Liffe, and the third largest algo trader at Chicago Mercantile Exchange and Eurex. All volume is conducted fully automatically by a state of the art technology. The monthly traded volumes exceeds 20 million lots. The trading algorithms used by RSJ are based on sophisticated mathematical models.

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