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Slippage And Intelligent Order Processing Data
11 replies, 1579 viewings
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OmniVest User Forums
General Discussion Topics
Slippage And Intelligent Order Processing Data
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Last Activity 4/15/2019 7:43 PM 11 replies, 1579 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
Collecting the trade data generated by many different users trading the same Strategies should enable us to analyze our effect in more depth. This project might allow us to make more informed decisions concerning possible future “Intelligent Order Processing” capabilities, and also has the potential to help in the selection of more robust / stable ETFs. As I see it, there are 2 major hurdles for those interested in contributing to this project – Ease Of Use and Privacy - and I feel I’ve come up with good solutions to both; 1) Ease of use I propose to initially limit the data collection to those of us trading with IB. I’ve attached a pdf document detailing the process of setting up a specific “Flex Report” in IB that will download a csv spreadsheet in the correct format – allowing you to then easily copy and paste your trade data to a central collection point. You can contribute your data at any time that’s convenient for you, with the only request being that you contribute trade data from different time periods each time – something accomplished by sorting your data by date and not duplicating previous uploads you’ve made. 2) Privacy I feel it will be beneficial to include the time and size of the trades, but I feel it’s essential that the data remains anonymous. There are a number of sharing possibilities (Excel Shared Workbook, Dropbox, Smartsheet, etc.), but they all require the identity of the contributors in one fashion or another – joining a group, email, etc. The solution I found was for me to subscribe to & then post a spreadsheet on Zoho Docs. You can add your data to that correctly formatted spreadsheet at any time, and there’s no way to associate the uploaded data with the person adding it if done correctly in the manner I’ll show. I’ll simply use that spreadsheet as a repository of the information. I’ll copy the data to my Excel analysis spreadsheet, and then delete it on the Zoho spreadsheet to make room for more. Think of the Zoho spreadsheet as a way to “launder” the data and keep it confidential… you'll need to enter a password and other information I’ll explain in the attached Instructions in order to write data to the spreadsheet, but you won’t need to join or subscribe to Zoho to accomplish what I need on their site. ;-) Once I have a sufficient amount of trade data, I can associate the correct trades with the trades taken by my Elite Portfolios and then do additional analysis: Slippage vs OV Movement of the ETF at Open vs movement of the underlying benchmark (if available) Time of trade vs price Size of orders vs price movement on low volume ETFs Etc. There’s also a Yellow “Notes” column at the right edge to let me know if your trade was modified for some reason; You had a problem with the TP or Broker and / or executed the trade at a different time or day. You used a limit order to enter or exit (at a target?) You used a stop (trailing or fixed) Any other information you feel would be helpful or you’d like to pass on to me. It’s an experiment, but I hope that by analyzing the trade sizes and times we’ll be able to extract some useful information. I appreciate that it’ll require a little work for those choosing to participate, but I hope the process will be simple and confidential enough to be acceptable to some of you that are trading with IB. The more data contributed, the better the results should be. If you choose to participate, you don’t even have to tell me (though I’d appreciate knowing). All you need to do is use the step-by-step examples in the attached “Data Collection Instructions” pdf to set things up in IB and then simply add your trade data to the spreadsheet on Zoho. Setting up the Flex Report in IB should take less than 5 minutes (one time only), and it should then only take a couple of minutes each time you choose to add your data to the spreadsheet on Zoho (once or twice a month?). The pdf shows you how to create the Flex Report in IB, what to copy, how to correctly access the spreadsheet on Zoho, and where to paste the data so that I can collect and analyze it. If you look at the process and know what we could do to accomplish this with other Brokers, please let me know… I won’t know whose data it is (it’s always anonymous), and you can add data to the spreadsheet at any time covering any interval that’s convenient for you. While you may choose to filter out trades you’ve taken in IB that aren’t associated with my Elite Portfolios, that won’t be required. My algorithms will find and keep only the correct trades in the data, and I’ll simply delete any that aren’t relevant to the project. Once I have a sufficient amount of data, I’ll make any information I can extract available to everyone. Thank you for considering joining the project, and for taking the time to read the attached pdf… Mark  Attached file : Data Collection Instructions.pdf (1178KB - 257 downloads) | ||
| Mark S Regular Posts: 56 Joined: 10/11/2012 Location: Barrington, IL User Profile |
I will upload my data, starting in April which is when I first started trading your strategies. Please note that I recently started delaying my orders for my 3 accounts by 5 minutes, 6 minutes, and 7 minutes respectively. I'm considering waiting even longer to allow the crazy first few opening minutes to settle down. I've seen other studies that say you get better fills a few minutes after opening than right at the opening, but I have no idea if that's true. It just seemed credible, and has the additional benefit of spreading the load for the AWS instance. Anyway, if that messes up your analysis, and you'd prefer not to include my data, just let me know. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Far to the contrary - the more varied the data is, the better (more valid?) the analysis should be. I only hope many other people will add to the mix and give me enough data to be able to make some statistically significant observations over time. This could prove to be really interesting... Mark [Edited by Mark Holstius on 8/14/2016 7:05 PM] | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Many thanks to those of you who've already uploaded your data!!! I'm working on the analysis and it looks interesting, but I'll wait until I have a lot of data before I post anything. Mark [Edited by Mark Holstius on 8/18/2016 11:25 AM] Attached file : Zoho Update 01.png (63KB - 518 downloads) | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
At the moment I am trading Marks' portfolio in a IB paper account. Yesterday a short trade in UCO was indicated and was taken this morning. The 'OV trade-advisor' shows the trade was taken at a price which according the IB chart was not within the range for the time indicated. I don't know if I am missing something or if something is not to be trusted Attached file : UCO 081816 630-645 est.png (731KB - 268 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I hope this overlay of lines on your screenshot will help you see where the trade was taken...??? Mark [Edited by Mark Holstius on 8/18/2016 7:30 PM] Attached file : UCO.png (174KB - 472 downloads) | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
[Edited by John W on 8/19/2016 2:07 AM] Attached file : uco.png (25KB - 462 downloads) | ||
| James McNeill Regular Posts: 68 Joined: 3/8/2013 Location: Victoria, BC, Canada User Profile |
I'm learning | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I've already collected a few thousand data points and developed the first steps necessary to move forward with analyzing the trades in excel. Bruce Britt was kind enough to share a problem he had with transferring his data, and I'd like to pass it on to everyone. Once you have your data in the Flex Report from IB and have copied it to your clipboard, just select the 1st cell in the blank row you want to paste it into in the Zoho spreadsheet and then use Ctrl+V (Cmnd+V on a Mac) to complete the paste operation. Bruce found that right-clicking in a Zoho cell to bring up a menu that would normally allow a paste operation in Excel doesn't work - you get a menu that doesn't include the option to "paste"; Also, please feel free to include any trades you may have taken from my earlier “Low Risk RTM-ETF” Elite Portfolios in addition to the latest “Flexible By Design” – the more data, the better. Thanks again for contributing. I hope everyone has a good weekend… Mark (Thanks Bruce) [Edited by Mark Holstius on 8/21/2016 10:52 AM] Attached file : right click.png (129KB - 415 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Thanks again for sharing your data! Mark [Edited by Mark Holstius on 8/21/2016 10:54 AM] Attached file : Added warning2.png (44KB - 349 downloads) | ||
| Howard Moore New User Posts: 3 Joined: 6/9/2016 Location: Redondo Beach, CA User Profile |
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| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Yup - that just seems to be the way IB likes to do it. My MOO orders show as LMT orders too, so no need to worry about it. When you enter them into Zoho, there's no need to put anything in the Notes column unless you did something unusual (Stop Loss, Target, Etc). Additionally, everyone can use that column to send me a suggestion or anything you'd like to pass on. As a sidenote, I've been noticing that Zoho tends to "lose" the formatting I used in the first couple of rows I've set aside for information at the top of the spreadsheet - so if it looks a bit "funky", please go ahead and post your data in the first open row and I should be able to get it. I'm trying to find out why the formatting changes, but no luck so far... Thanks for volunteering your trade information - I hope it proves to be useful. Mark |
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