Steve2
Elite
  
Posts: 750
Joined: 10/11/2012
Location: Annapolis, MD
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Attached is IB slippage data from my first month of live trading (actually less than a month since I started on Mar 6th). The Summary worksheet shows average slippage by order size and order type. The Trade Data worksheet shows the details for each trade including volatility, volume, opening gap, and daily range data, as well as the exchange that was used. I'm currently submitting market orders before market open (although there is one MOO order in there). At some point I will switch over to MOO orders for awhile and then begin to explore limit orders. Will post updates at the end of each month.
I've made only 60 trades so far so way too early to draw conclusions. Currently, average slippage is $.005 per share or just about equal to commission cost.
 Attached file : Slippage History - IB Live 1 Thru 13-03.xlsx (21KB - 240 downloads)
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