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Slippage - need advice on reducing it
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Slippage - need advice on reducing it

  #1 (permalink)
Elite Member
Calgary Canada
 
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: IB/Kinetic
Favorite Futures: 6E, CL
 
jackyd's Avatar
 
Posts: 47 since Jun 2009
Thanks: 44 given, 18 received

Slippage - need advice on reducing it

So far I’ve been sticking to market orders in my trades since most of the good setups move pretty fast and if you use a limit, you get left behind much of the time (it seems that way at least). It’s been working ok for the most part, but it would be so good to trim back the slippage - even just a little bit.

So I’ve been thinking about a good limit/market combo strategy where the order escalates into a market order after a certain number of ticks. Or maybe scaling in where you take 1 contract at market, and place a bid for additional contracts below market.

I’ve been reluctant to pursue this though since it seems like you could really only use it on the entry side, and you would likely end up missing the best trades at the end of the day – which would mean that any decent system/strategy wouldn’t be able to stay profitable over time. And, the difficult part is testing this since strategy analyzer can’t do it, and I’m not sure market replay or even sim mode can give you accurate feedback.

My style is trading eminis on shorter timeframes (3-4 bar and 20-50 tick charts), letting good trades run, and getting out of bad trades as fast as possible.

I’m sure others have been down this road before so I’d appreciate any/all suggestions, even those that say it’s a complete waste of time.

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  #2 (permalink)
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Boston
 
Futures Experience: Beginner
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Maletor's Avatar
 
Posts: 88 since Jun 2009
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How about entering on a stop order?
Just like a limit in that it turns into a market order once it's hit, but unlike a limit in that you aren't guaranteed that price.

On eMini there is no slippage. I've only ever had slippage once and that was for one tick.

On certain stocks there is slippage, but if you are trading that kind of heavy volume, you'd be on the ES anyway...

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  #3 (permalink)
Elite Member
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jackyd's Avatar
 
Posts: 47 since Jun 2009
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I'm definitely seeing what I consider to be slippage. Between my order being entered and filled it can sometimes be a tick or 2 higher than I would like. But, I'm also buying at a time when there's already buying pressure, so the price is jumping around a bit.

I like your idea though, and I think I'll need to do some experimenting with some other order types besides the basic long limit. Thanks

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  #4 (permalink)
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Manta, Ecuador
 
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Big Mike's Avatar
 
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jackyd,

IB is really terrible, terrible, terrible for tick data. I strongly suggest you look at IQfeed, eSignal, or Zen Fire if you are dealing with tick data on futures.

Even if you get IQfeed for data and keep IB for broker, you will still see slippage most lilkely -- because the data will be ahead of the broker.

This is just based on my own personal experiences with IB, IQfeed, and eSignal. I finally dumped IB after I was no longer trading equities, and went with Amp+Zen Fire. Never looked back, much better integration with NT, much faster, no slippage, no problems.

Mike

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  #5 (permalink)
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jackyd's Avatar
 
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Thanks Mike, nuff said. I was planning to get IQFeed but was putting it off. I'll do that asap and start looking into zenfire.

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  #6 (permalink)
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sefstrat's Avatar
 
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I also use IB, and while I agree about its shortcomings with respect to tick data, I would highly advise against IQfeed.

I opened an IQfeed account and found their tick data to be not much better than IB, totally not worth the expense. This was for Forex data, not futures, so perhaps their futures data is better I don't know but the worst part of the experience was that they hassled me and made it difficult to cancel. It took about 6 different phone calls to finally get them to stop charging me and refund the money they erroneously charged me. After looking around on the net I found several other people complaining about the same thing so I would definitely do your research before signing up with them.

ZenFire datafeed is 100x better than IQfeed and free =)

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  #7 (permalink)
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jackyd's Avatar
 
Posts: 47 since Jun 2009
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thanks sefstrat. I'll probably skip IQ in that case and start getting up to speed on zenfire.

From what I've been reading it sounds very fast as a data feed. I just need to understand the execution/brokerage side of it. I'll give them a call tomorrow.

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  #8 (permalink)
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Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
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Zen Fire is just data. You'll need a broker like Amp Futures or Mirus Futures first to handle the executions, and they give you Zen Fire data free.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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