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Steve2

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Posts: 750

Joined: 10/11/2012
Location: Annapolis, MD

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Subject : RE: IB Slippage Data By Order Size and Trade Type
Posted : 6/29/2013 6:05 PM
Post #26198 - In reply to #25917
Attached is IB slippage data from my live trading account (Mar 6th through the end of June). 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 and June, 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 turned slightly negative at $(0.000352) per share. Slippage for the limit opening orders remained positive at $0.069690 per share. This resulted in a positive gain of $1,248 during the past two months, however, to assess the true impact one has to factor in the P/L of trades that did not fill. During the past two months 18 opening trades did not fill and have been closed out by OV. The impact of those 18 trades was a profit of $1,334 that was not realized. So, the net impact of using opening limit orders was $1,248 - $1,334 = $(86). Since, this is an improvement over just the May results, I'll continue to use them for another month and report back at the end of July. Also, I'm adding funds to the account (normally the kiss of death), so I'll be collecting data on larger order sizes.

Steve

p.s.

If anyone from Nirvana happens to read this, I was wondering if you all simulated the use of limit orders at the previous close when designing OV. If you have done this and the simulation showed it does not improve results then please let me know and I can abandon this approach... thanks
Attached file : Slippage History - IB Live 1 Thru 13-06.xlsx (51KB - 249 downloads)

Deleting message 26198 : RE: IB Slippage Data By Order Size and Trade Type


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