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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 : 8/1/2013 8:06 AM
Post #26601 - In reply to #26198
Attached is IB slippage data from my live trading account (Mar 6th through the end of July). 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, June, and early July, 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. On July 8th, I switched back to submitting opening orders as market orders. Nirvana has indicated that they will add opening limit orders to OV, so I'll just wait for that to happen so their effectiveness can be properly back tested.

Slippage for market orders submitted before market open is once again slightly positive at $0.0043 per share. Slippage for the limit opening orders remained positive at $0.062678 per share. This resulted in a positive gain of $1,213 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 21 opening trades did not fill and have been closed out by OV. The impact of those 21 trades was a profit of $2,115 that was not realized. So the actual impact of submitting opening limit orders was $1,213 - $2,115 = $(902).

Note: I'm not sure how much longer I will continue to publish this data. The data collection is a pain and I've accomplished my primary goal which was to assess the impact of IB slippage on P/L. My assessment is that IB slippage is a non-issue for order sizes that I expect to be submitting over the next several years.

Steve


[Edited by Steve2 on 8/1/2013 8:08 AM]
Attached file : Slippage History - IB Live 1 Thru 13-07.xlsx (60KB - 212 downloads)

Deleting message 26601 : RE: IB Slippage Data By Order Size and Trade Type


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