Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | Regarding John's "second kind of slippage" -
Two points: 1. This is essentially a "macro" form of regular trading slippage - think of all the nearly-simultaneous orders as if they were "one big trade". If that "big trade" is a significant fraction of the daily volume for that stock, and if prices on that stock tend to be volatile, then the "big trade" slippage effect could well be a "scary" magnitude kind of number. 2. To help us proactively avoid being hit by that effect, it would be very helpful if OmniVest could report in an analysis column what the overall composite magnitude of participation there is amongst ALL OVest customers in a particular strategy used on a particular symbol. This report could be something simple like small/med/large, or something like a normalized percentage of max possible users participating in that combo, or (best) a percentage that specifically indicates the fraction of the average daily volume that the composite total "big trade" number of shares represents. If that percentage is high, we as users can opt NOT to participate in that trade. In fact, OVest could give us a money-management input option to either ignore or to scale back participation in a given trade as a function of what the big-trade percent of daily volume might be. This would be COOL. And powerful! I hope I've explained this well enough. [Edited by Jim Dean on 3/12/2013 11:06 PM] | ||
