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TopStepTrader & Rithmic Slippage Study
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TopStepTrader & Rithmic Slippage Study

  #1 (permalink)
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TopStepTrader & Rithmic Slippage Study

Hi all,

A while back I asked if anyone can share their trading results and to provide some quantifiable slippage number for their trading results. Unfortunately, no one stepped forward; hence, I decided to conduct my own study with TopstepTrader & Rithmic.

In the month of May, I made over 62 trades with the ESM6 (emini S&P) and over 110 trades with ZBM6 (US 30years bond) using only limit orders, see attached trading results.

To sum it up, I am getting negative slippage i.e. (better filled-price compared to the limit price). It is too good to be true!

Is anyone out there trading live with TopStepTrader? I am interested in analyzing your slippage results.

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Register to download File Type: xlsx TopStepTrader Arithmic Slippage Study May2016.xlsx (28.2 KB, 29 views)
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  #3 (permalink)
 R.I.P. 1969-2016 
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I am not trading live with with TST but if we speak about NT I can confirm that the result of SIM trading with NT 7 are by far worst than the result of live trading in terms of slippage.

The difference is based on my experience of at least 3T on CL (I had as much as 7 or 8 during relatively fast market conditions - not during news release just a market a little faster than usual). So I guess it is the same for other contracts.

I am not an expert in technical stuff but my explanation is that NT 7 refresh charts very slowly by default (I think it 1/2 second). In SIM it looks like that the fill you get is based on this slow refresh rate, in live the fill is only based on your connection speed with the trading server so in that case the chart does not matter.

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Okina View Post
I am not trading live with with TST but if we speak about NT I can confirm that the result of SIM trading with NT 7 are by far worst than the result of live trading in terms of slippage.

The difference is based on my experience of at least 3T on CL (I had as much as 7 or 8 during relatively fast market conditions - not during news release just a market a little faster than usual). So I guess it is the same for other contracts.

I am not an expert in technical stuff but my explanation is that NT 7 refresh charts very slowly by default (I think it 1/2 second). In SIM it looks like that the fill you get is based on this slow refresh rate, in live the fill is only based on your connection speed with the trading server so in that case the chart does not matter.

Okina,

Thanks for sharing your experience. BTW, I forgot to mention that I am using Multicharts to trade with TST.

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@Okina, did you change the default delays for the simulator engine? The display update in a chart is 0.5 second by default in NT7, and can be changed, but it has nothing to do with the simulation engine and the simulated fills.

Sorry @fiverr, I don't know how MC simulation engine is working so can't help here, but negative slippage is possible in live so your statistics are maybe not too good to be true.

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sam028 View Post
@Okina

Sorry @fiverr, I don't know how MC simulation engine is working so can't help here, but negative slippage is possible in live so your statistics are maybe not too good to be true.


It is one thing to say it is possible, versus getting consistently positive slippage which this OP claims.
In my experience no one can rely on positive slippage consistently even with limit orders.
It could be seen at times for those who automated their trading, but that happens because of a lag that occurs between signal and execution.

@fiverr The market does not give you the gift of positive slippage consistently to consider it as part of your method. This is my opinion.

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  #7 (permalink)
 R.I.P. 1969-2016 
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sam028 View Post
@Okina, did you change the default delays for the simulator engine? The display update in a chart is 0.5 second by default in NT7, and can be changed, but it has nothing to do with the simulation engine and the simulated fills.

Sorry @fiverr, I don't know how MC simulation engine is working so can't help here, but negative slippage is possible in live so your statistics are maybe not too good to be true.

Thanks for the information. So with a bot this delay won't change anything if I understand well. The simulation engine works in "real time" what I see on the screen has by default at least 1/2 second of delay (and maybe more because 1/2s does not seems very long based on the slippage I have in SIM)?

But with manual trading this delay change a lot of thing because you see for example a price at 48.00 you push buy and by the time you have pushed buy you see 3 bars that suddenly pop on the screen and NT SIM give you a fill 8T higher because the real price is 8T higher but the screen has not been updated? It never happened to me in live (and I hope it won't with NT). I have changed the setting to 0.1 and it has improved my SIM fill but if I understand it is just because I trade what I see instead of trading it with a delay ?.

R.I.P. Olivier Terrier (aka "Okina"), 1969-2016.
Please visit this thread for more information.
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Please note that I am using MC with TST and Rithmic. The trading results posted here are from Rithmic trading server and NOT from MC simulated paper trading.

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fiverr View Post
Hi all,

A while back I asked if anyone can share their trading results and to provide some quantifiable slippage number for their trading results. Unfortunately, no one stepped forward; hence, I decided to conduct my own study with TopstepTrader & Rithmic.

In the month of May, I made over 62 trades with the ESM6 (emini S&P) and over 110 trades with ZBM6 (US 30years bond) using only limit orders, see attached trading results.

To sum it up, I am getting negative slippage i.e. (better filled-price compared to the limit price). It is too good to be true!

Is anyone out there trading live with TopStepTrader? I am interested in analyzing your slippage results.

Is column G your limit price and column F your fill price? If that's the case, your computation of slippage is wrong.

In the regular session, your resting limits must always fill at their limit price. This means that you're actually crossing the spread on all of the fills where fill price =/= limit price.

In cases where you're crossing the spread, you should be computing your slippage as difference between fill price and perceived best bid/offer at the time you sent out the order. I am sure this will be zero to a net loss to you in most cases.

The difference between fill price and limit price is a meaningless quantity for liquidity provision (because it's trivially always zero). The quantity is also meaningless for liquidity taking, because you can trivially incur an infinitely negative value by setting an infinitely high limit price when you're buying and infinitely low limit price when you're selling.

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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.

To my understanding some brokers only charge commission and the bid and ask are the same. Other brokers use a hybrid scheme whereby they have different bid and ask price (spread) with lower commission per trade.

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