Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | Note that I have stopped collecting volatility, volume, opening gap, and daily range data -- the July spreadsheet is the last one that contains these columns. 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. Note that on Aug 11th I began allowing multiple strategies to trade the same symbol. While the Summary tables and Trade Data show each trade generated by each strategy, trades for the same symbol on the same day were actually combined into a single trade that was submitted to my broker. This means that the slippage by order size numbers in the Summary tables are no longer correct as a single large order is sometimes shown as multiple smaller orders in the tables. The bottom line slippage numbers in the table columns are correct and the slippage numbers by order size are not too far off as the number of times this happens is small compared to the overall number of trades. I did this because it's more important for me to be able to compare my trade record to OV historical trades and to assess individual strategy performance. Also, given my trade sizes and the liquidity of the stocks I'm trading there is no correlation between trade size and slippage. Slippage for market orders submitted before market open is once again slightly positive at $0.001986 per share. No opening limit orders or MOO orders were submitted this month so those stats remain the same. Steve  Attached file : Slippage History - IB Live 1 Thru 13-09.xlsx (66KB - 227 downloads) |
