Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | Jim, The data posted here is from a live account. Since the strategies are performing as expected, I'm just adding more funds. This will push the average order size up to about 500 shares. I agree completely that slippage is an issue when trade size becomes an appreciable fraction of daily volume. That's why I'm only trading stocks with average daily volumes greater than 1M shares ( and not interested in trading illiquid stocks, sorry). I'm really trying to see if there are correlations with other things e.g., order type, exchange used, order submission time, etc. I was also hoping others would post slippage data for the other brokers so we could compare but so far no takers. I too wish Nirvana would publish daily aggregate trading volumes for each symbol so we could track how much volume OV drives or might theoretically drive since I don't know how much live trading is actually being done. An interesting observation about paper accounts. I've been running TP against a paper account for quite awhile submitting market orders before market open (not MOO). While I haven't been formally tracking slippage, it appears that the fills are worse in this account than in my live account. So, one of the things on my list is to figure out whether this is due to the fact that it's a paper account or an artifact of the order parameters TP is using. Steve [Edited by Steve2 on 6/29/2013 9:55 PM] | |
