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TopStepTrader & Rithmic Slippage Study


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TopStepTrader & Rithmic Slippage Study

  #11 (permalink)
 artemiso 
New York, NY
 
Experience: Beginner
Platform: Vanguard 401k
Broker: Yahoo Finance
Trading: Mutual funds
Posts: 1,152 since Jul 2012
Thanks Given: 784
Thanks Received: 2,685


fiverr View Post
Hi artemiso,

If I want to sell at 2050.5 (limit price) and I got filled at 2051.0 (avg fill price), this is to my advantage.

If I want to buy at 2060.5 (limit price) and I got filled at 2059.75 (avg fill price), I got a lower buy price than my limit. This is also to my advantage.

If you sell at 2050.5 (limit price) and get filled at 2051.0 (fill price), then what this means is that you were crossing the spread. If the best bid was 2051.0, your slippage is 0 points, not -0.5 points.

Let's say the market for ESU6 is quoted bid at 2096.50. There's nothing preventing me - assuming the 7% price limit is not hit - from placing a limit to sell ESU6 at 2050.00, but I will get filled at 2096.50. According to your limit price - fill price formula, I will get an instant -186 tick negative slippage to my advantage!

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