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Steve2

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Subject : IB Slippage Data By Order Size and Trade Type
Posted : 6/1/2013 8:05 PM
Post #25917 - In reply to #25506

Attached is IB slippage data from my live trading account (Mar 6th through the end of May). 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. For the first two months I submitted market orders before market open for both opening and closing trades. In May, 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.

Slippage for market orders submitted before market open remained slightly positive at $0.001034 per share. Slippage for the limit opening orders was more positive at $0.042941 per share. This resulted in a positive gain of $322 during the month, however, to assess the true impact one has to factor in the P/L of trades that did not fill. During the month 10 opening trades did not fill and 9 of those have been closed out by OV. The impact of those 9 trades was a profit of $496 that was not realized. So, the net impact of using opening limit orders was $322 - $496 = ($174). Since, I believe the use of opening limit orders still has promise, I'll continue to use them for another month and report back at the end of June.

Steve

Attached file : Slippage History - IB Live 1 Thru 13-05.xlsx (39KB - 271 downloads)