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Steve2
 Elite
     Posts: 750
Joined: 10/11/2012
Location: Annapolis, MD
User Profile |
Attached is IB slippage data from my live trading account (Mar 6th through the end of October). The Summary worksheet shows average slippage by order size and order type. The Trade Data worksheet shows the details for each trade.
Note that I have stopped collecting volatility, volume, opening gap, and daily range data -- the July spreadsheet is the last one that contains these columns.
For the first two months I submitted market orders before market open for both opening and closing trades. In May, June, and early July, I submitted day limit orders at the previous trading day's close for all opening orders and continued to submit market orders for closing trades. On July 8th, I switched back to submitting opening orders as market orders. Nirvana has indicated that they will add opening limit orders to OV, so I'll just wait for that to happen so their effectiveness can be properly back tested.
Note that on Aug 11th I began allowing multiple strategies to trade the same symbol. While the Summary tables and Trade Data show each trade generated by each strategy, trades for the same symbol on the same day were actually combined into a single trade that was submitted to my broker. This means that the slippage by order size numbers in the Summary tables are no longer correct as a single large order is sometimes shown as multiple smaller orders in the tables. The bottom line slippage numbers in the table columns are correct and the slippage numbers by order size are not too far off as the number of times this happens is small compared to the overall number of trades. I did this because it's more important for me to be able to compare my trade record to OV historical trades and to assess individual strategy performance. Also, given my trade sizes and the liquidity of the stocks I'm trading there is no correlation between trade size and slippage.
IB provides a Smart routing option to seek price improvement. When this option is used, Smart routed orders sweep certain exchanges for hidden liquidity at more favorable prices, then checks the dark pools as usual before routing to an exchange. Beginning on 10/9 I began submitting all market orders with this option set. This continued through the end of October. An additional slippage table has been added to the summary worksheet to evaluate slippage using this option (order type is MBI). 69 orders were submitted using this option. The average slippage for these orders was $(0.006039) per share or about $(155) for the 25,700 shares traded this way. As a result, I am discontinuing use of this option and will continue to submit market orders before market open with no options set.
Slippage for market orders submitted before market open (with no options set) continued slightly positive at $0.001813 per share.
No opening limit orders or MOO orders were submitted this month so those stats remain the same.
Steve
Attached file : Slippage History - IB Live 1 Thru 13-10.xlsx (75KB - 266 downloads)
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Fred Gordon
 Legend
       Posts: 481
Joined: 10/11/2012
Location: Fayetteville, Ga
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"I am discontinuing use of this option and will continue to submit market orders before market open with no options set."
Hi Steve,
Are you including min. vol. settings, round lots only, "Smart routing" and "Seek better price", when you say: (no options set)?
Also, are you using this scheme for exits only?
Thanks,
Fred
[Edited by Fred Gordon on 11/13/2013 8:58 AM]
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Steve2
 Elite
     Posts: 750
Joined: 10/11/2012
Location: Annapolis, MD
User Profile |
Hi Fred,
Sorry for the confusion. I'm still trading stocks with 10-day average volume > 1M shares. I'm trading round lots and using SMART routing. Orders are submitted as market orders the night before market open. I'm doing this for both entry and exit orders. The only difference during the test was that in addition I checked the "Seek Price Improvement" routing option. This was done for both entry and exit orders.
Steve
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Fred Gordon
 Legend
       Posts: 481
Joined: 10/11/2012
Location: Fayetteville, Ga
User Profile |
Thank you Steve, are you submitting the night before (assuming any time after OV posts next day's trades?) for convenience or do you think you get a better price for some reason? I understand you have eliminated "Seek Price Improvement" to compare the effect or you feel it was hurting rather than helping.
fg
[Edited by Fred Gordon on 11/13/2013 10:10 AM]
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