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Steve Mayo

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Posts: 414

Joined: 10/11/2012
Location: Austin, TX

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Subject : RE: IB Slippage Data By Order Size and Trade Type
Posted : 8/1/2013 1:07 PM
Post #26606 - In reply to #26604
Great work Steve. Can you publish one more metric from your work, namely how did your actual return compare against the simulated return in OV over that time period?

I find, running fully automated, that a number of trades never get filled and my results are less than what OV shows. I've switched portfolios lately so I don't yet have a good metric I can report...so interested to know what you are finding.

Thanks!
Steve Mayo
Deleting message 26606 : RE: IB Slippage Data By Order Size and Trade Type


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