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General Discussion Topics
IB Slippage Data By Order Size and Trade Type
93 replies, 5832 viewings
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OmniVest User Forums
General Discussion Topics
IB Slippage Data By Order Size and Trade Type
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Last Activity 4/15/2019 7:43 PM 93 replies, 5832 viewings |
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kmcintyre Elite    Posts: 890 Joined: 10/11/2012 Location: Portland, OR  User Profile |
Makes sense. Time to rachet up the account size. Keith | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
I use MOO for most of my transactions and differences between closing and entry prices can be signicant. Pre-market "Day" Market orders may answer. I have tried LOO and "Day Limit set to the previous evening's closing price but experienced too many dropped orders for both. I use a live IB account. Thank you, Fred [Edited by Fred Gordon on 9/4/2013 6:21 AM] | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
IB is my broker but I haven't tried submitting pre-market or post-market orders. As the spreadsheets posted in this thread show, I've only used market orders submitted before market open (but executed at market open) and day limit orders at the previous trading day's close. Since I'm able to on-average match OV's entry/exit prices using market orders submitted before market open, I'm sticking with them. Submitting day limit orders at the previous trading day's close does handily beat OV's entry points but, as you point out, there can be a number of unfilled orders. In the 6 weeks that I tried this, the lost profit from the unfilled orders outweighed the gain from beating OV entry points but 6 weeks is not really much of a test. Ed, indicated at one point that they will add limit orders to OV so we will eventually be able to simulate the impact of this. If you do try submitting pre-market orders, I'd be very interested in knowing how it works. Steve | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
Fred | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Ok, I misunderstood. If you look at the latest spreadsheet posted in this thread, the first table in the Summary worksheet (Market Before Open) shows the slippage I've gotten using this method for 450 opening trades. It's virtually the same as submitting MOO orders. The one caveat is that I think the slippage you get will vary based on the liquidity of the stocks you are trading. I'm trading pretty liquid stocks (10-bar average volume greater than 1M shares). Steve | ||
| 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 - 221 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Appreciate your sharing... Mark | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Thanks so much for keeping this data and sharing the results. Keith | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
In a very unscientific manner, I enabled this routing feature and made all trades 'Min Trade Size = 100', at the same time. Once done, these two settings provided definable positive improvement to my actual versus OV entry/exit values - both long and short. I'm curious to know if you have Seek Price Improvement setting enabled. I can build a case that shows Min Trade Size was not as important as the Seek Price Improvement setting. I do miss allowing OV to select some smaller size (<100 share) picks, and I've been having a hardest time entering Priceline.com in 100 share lots ;-) Attached file : NBB0.png (22KB - 197 downloads) | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Interesting. My TWS doesn't show those configuration options (see attached screenshot). What version of TWS are you using. I'm using Build 939.3. Steve Attached file : TWS Smart Routing Options 10-4-13.png (63KB - 194 downloads) | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
My image is from the TWS API config settings drop down. You are showing your TWS settings in the .png image (I assume). I should know that as you are executing manually... Not sure where it is in TWS client. Seems logical it would be with Smart routing. Definitely a different setting box between API and TWS client... My evidence is way too little to draw conclusions, but across around 120 trades (120 before and 120 after) long & short, the results are nice. I think >100 smoothed out some big 'pothole' slippage hits, and the "price improvement" added a nice overall touch. But ask me after 1,000 trades :-0 I'm at 939.3 too. I attached image of the price improvement 'info' bubble for the check box. Found the setting in one of IB's demos or manuals. Attached file : TWS-API routing.jpg (75KB - 182 downloads) | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Thanks, Steve | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
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| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
I'll give this a try for awhile with my live account and see if it improves entry/exit points. Will let you know at the end of the month. Steve | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
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| 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. IB provides a Smart routing option to seek price improvement. When this option is used, Smart routed orders sweep certain exchanges for hidden liquidity at more favorable prices, then checks the dark pools as usual before routing to an exchange. Beginning on 10/9 I began submitting all market orders with this option set. This continued through the end of October. An additional slippage table has been added to the summary worksheet to evaluate slippage using this option (order type is MBI). 69 orders were submitted using this option. The average slippage for these orders was $(0.006039) per share or about $(155) for the 25,700 shares traded this way. As a result, I am discontinuing use of this option and will continue to submit market orders before market open with no options set. Slippage for market orders submitted before market open (with no options set) continued slightly positive at $0.001813 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 13-10.xlsx (75KB - 274 downloads) | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
Hi Steve, Are you including min. vol. settings, round lots only, "Smart routing" and "Seek better price", when you say: (no options set)? Also, are you using this scheme for exits only? Thanks, Fred [Edited by Fred Gordon on 11/13/2013 8:58 AM] | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Sorry for the confusion. I'm still trading stocks with 10-day average volume > 1M shares. I'm trading round lots and using SMART routing. Orders are submitted as market orders the night before market open. I'm doing this for both entry and exit orders. The only difference during the test was that in addition I checked the "Seek Price Improvement" routing option. This was done for both entry and exit orders. Steve | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
fg [Edited by Fred Gordon on 11/13/2013 10:10 AM] |
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