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Enormous Slippage at IB at Stop-Orders


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Enormous Slippage at IB at Stop-Orders

  #1 (permalink)
bart007
Dusseldorf + Germany
 
Posts: 6 since Jan 2015
Thanks Given: 6
Thanks Received: 2

I trade the Euro/Dollar Future (6E) at IB and my way to start a trade is via a Stop Sell or a Stop Buy Order. Additionally I use Stop Orders to limit my losses.
About 80 % of my Stop Orders create slippage, which costs a hell of a money (no News-Trading!).
Now I got the information that IB offers the possibility to modify the trigger method of Stop orders.
Is there a way to reduce the number of orders with slippage and if so, what is the best setting to do so without increasing the risk that the order doesn't get filled?

Is there anybody who can help me on that?

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  #2 (permalink)
 choke35 
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
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bart007 View Post
I trade the Euro/Dollar Future (6E) at IB and my way to start a trade is via a Stop Sell or a Stop Buy Order. Additionally I use Stop Orders to limit my losses.
About 80 % of my Stop Orders create slippage, which costs a hell of a money (no News-Trading!).
Now I got the information that IB offers the possibility to modify the trigger method of Stop orders.
Is there a way to reduce the number of orders with slippage and if so, what is the best setting to do so without increasing the risk that the order doesn't get filled?

Is there anybody who can help me on that?

In short: There is no such possibility. You either have to live with slippage during rather illiquid periods
or you risk to remain unfilled (e.g. if you use Stop Buy Limit / Stop Sell Limit orders in order to limit the
(potential) slippage).

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  #3 (permalink)
bart007
Dusseldorf + Germany
 
Posts: 6 since Jan 2015
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choke35 View Post
In short: There is no such possibility. You either have to live with slippage during rather illiquid periods
or you risk to remain unfilled (e.g. if you use Stop Buy Limit / Stop Sell Limit orders in order to limit the
(potential) slippage).

I do the trades during the main trading hours of the Dollar during the European morning session, so this is not an illiquid period. But many thanks für your reply.

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  #4 (permalink)
 choke35 
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
Posts: 2,668 since Feb 2013
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bart007 View Post
I do the trades during the main trading hours of the Dollar during the European morning session, so this is not an illiquid period. But many thanks für your reply.

Prime time reduces the slippage, but be aware that illiquid periods also comprise price action S/R areas that break.
The velocity at such break(out)s results from one side of the orderbook being massively inferior.

E.g.: If the 6E breaks a multi-hours high/low, you shouldn't expect to be the one lucky guy who is stopped
out without slippage. Try to see your failing position from the opposite side: Would you benefit losing players
at such obvious stop areas by taking the counterpart directly above/below the breakout? Presumably not

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  #5 (permalink)
 grausch 
Luxembourg, Luxembourg
 
Experience: Advanced
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bart007 View Post
I trade the Euro/Dollar Future (6E) at IB and my way to start a trade is via a Stop Sell or a Stop Buy Order. Additionally I use Stop Orders to limit my losses.
About 80 % of my Stop Orders create slippage, which costs a hell of a money (no News-Trading!).
Now I got the information that IB offers the possibility to modify the trigger method of Stop orders.
Is there a way to reduce the number of orders with slippage and if so, what is the best setting to do so without increasing the risk that the order doesn't get filled?

Is there anybody who can help me on that?

Are you experiencing unusual slippage or just slippage in general?

Since you are trading during normal market hours, it just sounds like you are experience normal slippage. As @choke35 suggested, you could use Stop Limit Orders. You could use them to enter positions, but I would not use them to exit positions. If you miss an entry it is not too bad, but if you miss a stop-loss you can be in a pretty big hole.

The more frequently you trade the more slippage becomes a problem. So, either live with the slippage you have, adjust your entry order-entry method or trade less frequently if you wish to reduce the $-amount lost to slippage.

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  #6 (permalink)
 tpredictor 
North Carolina
 
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
Posts: 644 since Nov 2011

Make sure you have TWS set to send stops to the exchange. The default settings don't hold them at exchange but rather either on computer or at IB (forget which), i.e. they are software stops.


bart007 View Post
I trade the Euro/Dollar Future (6E) at IB and my way to start a trade is via a Stop Sell or a Stop Buy Order. Additionally I use Stop Orders to limit my losses.
About 80 % of my Stop Orders create slippage, which costs a hell of a money (no News-Trading!).
Now I got the information that IB offers the possibility to modify the trigger method of Stop orders.
Is there a way to reduce the number of orders with slippage and if so, what is the best setting to do so without increasing the risk that the order doesn't get filled?

Is there anybody who can help me on that?


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  #7 (permalink)
bart007
Dusseldorf + Germany
 
Posts: 6 since Jan 2015
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Thanks Received: 2


tpredictor View Post
Make sure you have TWS set to send stops to the exchange. The default settings don't hold them at exchange but rather either on computer or at IB (forget which), i.e. they are software stops.

Very good point! Do you know how to change the default setting for that? Otherwise I'll contact IB.

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  #8 (permalink)
 Obelixtrader 
Slovakia
 
Experience: Intermediate
Platform: Ninjatrader 8
Broker: Interactive Brokers,Tastytrade,Birdwingo
Trading: K200M,KOSDQ150,US stock option
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bart007 View Post
Very good point! Do you know how to change the default setting for that? Otherwise I'll contact IB.

CME dont support stop order only on their server
see list of order that are native on exchange server
https://www.interactivebrokers.com/en/index.php?f=2222&exch=globex&showcategories=FUTGRP

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  #9 (permalink)
RolandH
München
 
Posts: 2 since Feb 2018
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bart007 View Post
Very good point! Do you know how to change the default setting for that? Otherwise I'll contact IB.

Hi bart007,

I am also very unhappy with this enormous slippage. I am entering with LMT buy/sell Orders but my PT- and SL-Orders are normal Stop Orders. Approximately about 80% of my exits have slippage! I have never received "positive" slippage, always negative slippage!

And every experienced trader says "this is normal... you have to live with it...". Hmmm...

How about the STP-process from IB. I mean, they held the Stops at there servers and when the stop price is hit, the orders will be sent to the exchange. And this little time difference causes slippage (lately I became 7 pips slippage trading GBP.USD in Forex market, NOT during news, at 15:00 h german time !!!).

Have you still found a better solution for you?

Thanks, Roland.

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Last Updated on February 18, 2018


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