OmniVest Forum : General Discussion Topics : Deleting Thread IB Slippage Data By Order Size and Trade Type

Steve2

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Subject : RE: IB Slippage Data By Order Size and Trade Type
Posted : 4/30/2013 4:56 PM
Post #25506 - In reply to #25063

Attached is IB slippage data from my live trading account (Mar 6th through the end of Apr). 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).

Slippage for the month of April was positive and overall slippage is now slightly positive (plus $5 since inception). 153 trades have been executed so it's still early but so far there appears to be little correlation with order size.

Starting in May, I am changing opening orders from market orders to day limit orders at the previous trading day's closing price. My analysis of the first two months of trading show this would significantly increase portfolio returns. So we shall see. Will report back in a month.

Steve

Attached file : Slippage History - IB Live 1 Thru 13-04.xlsx (30KB - 221 downloads)