OmniVest User Forums
General Discussion Topics
IB Slippage Data By Order Size and Trade Type
93 replies, 5799 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, 5799 viewings |
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Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile |
Steve Caveat: Don't draw any conclusions from the data so far. It only represents 12 trades :)  Attached file : IB Slippage 3-12-13.jpg (187KB - 278 downloads) | |||
| Jim Dean Elite  Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
You could create two custom focus list columns in OT to display these values btw. | |||
| hafnium Member Posts: 43 Joined: 10/11/2012 Location: Vienna, VA User Profile |
I don't understand the request or logic for collecting Gxtrader slippage. If you place a MOO in GXtrader before Mkt opens - the OV price is the GXtrader MOO price. There is 0 slippage. Am I missing something? LD | |||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve | |||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
Return atr(14) #indicator Return ema(V,14) Save those two indics, then add them as custom FL columns. Put the symbols used by the strats in the list, and sort by symbol name. You might also want to record the overnight change: #indicator Return O-C[1] Voila! | |||
| hafnium Member Posts: 43 Joined: 10/11/2012 Location: Vienna, VA User Profile |
Your point is well taken. When Omnivest trade volume ramps up - it may become an issue. However to date - with 4 months of live trading My MOO price with GXtrader (entries and exits) have allways matched the OV site price. There is no slippage. Also to date - no orders cancelled and no partial fills. Perhaps someone with a larger account (six figures and up) may have had a different experience. LD | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
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| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
Steve, $11 slippage across 2,600 shares and 12 trades may be great, or really painful. Can you provide some total $$ or % perspective - what's the slippage impact against gains (loss) and total equity in these trades? That may even help lend comparison to real vs. strategy simulation output, maybe ;-) In questioning Ed during one of the OV presentations, he said he has seen slippage 'average' out over time - sounds plausible, but is a big 'what if', especilly in aggressive, high trade volume RTM type strategies. | |||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
"3. Broker Fill Prices - Build a capability into OmniVest to record and report broker specific fill prices at market open" John | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
Slippage is very important to some kinds of trading and some kinds of symbol lists, and less important to others. Real time and RTM and any other short-term trading is significantly affected by it. Just saying "it averages out" is IMHO a way of sidestepping the issue. Not until careful studies are done using many thousands of data points could such a statement be reliably made. If such a study has been done it would be great if someone would publish it. | |||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
Based on experience, I'm very fixated on slippage when modeling Strategies. The name 'slippage' is so appropriate - walk on ice, think all is well, until you fall and you bang your head a few times. | |||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
The first type of slippage is simple and easy to measure. It’s the broker fill price versus the OV simulated fill price. It can tell us how well an individual broker is able to get a ‘better’ price compared to his competing broker. It allows us to simulate our broker’s specific performance, and to complain or move our account if we are consistently not getting as good a fill price as the other brokers. The second type of slippage appears complex. It is caused by many OV customers acting in concert at the same time on the same strategy. This results in a higher buying price or a lower selling price. The larger the OV customer base and the larger its account size, the more this effect will be ‘felt’. It will be ‘felt’ in the hip pocket nerve because there will be bigger opening gaps from one period to the next, therefore reducing returns. So how to ‘see’ what is going on, and what to do about it? Nirvana is in the best possible position to ‘see’ what is going on; there is plenty of information available from OV and the TP that can be garnered into meaningful statistics. There is pre-OV return data and post-OV return data, and as has been suggested there are gap sizes, ATR’s and EMA’s. There is also account size data and $ and position sizes placed on different strategies and symbols. A set of summary statistics could be useful for all. What to do about it in trading? I echo the comments on limit orders or delayed entry. Perhaps an intelligent release of orders into the market when buy/sell ratios are suitable could be another approach. I’m looking to Nirvana for guidance on this topic; there are lots of good ideas in this thread and related threads but this topic goes to the design of how OV is simulated and also how the TP places trades into the market and I believe it falls into Nirvana’s area of expertise and responsibility. I’d like to see Nirvana take leadership on this issue, perhaps suggesting a way forward. John | |||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
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| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
Two points: 1. This is essentially a "macro" form of regular trading slippage - think of all the nearly-simultaneous orders as if they were "one big trade". If that "big trade" is a significant fraction of the daily volume for that stock, and if prices on that stock tend to be volatile, then the "big trade" slippage effect could well be a "scary" magnitude kind of number. 2. To help us proactively avoid being hit by that effect, it would be very helpful if OmniVest could report in an analysis column what the overall composite magnitude of participation there is amongst ALL OVest customers in a particular strategy used on a particular symbol. This report could be something simple like small/med/large, or something like a normalized percentage of max possible users participating in that combo, or (best) a percentage that specifically indicates the fraction of the average daily volume that the composite total "big trade" number of shares represents. If that percentage is high, we as users can opt NOT to participate in that trade. In fact, OVest could give us a money-management input option to either ignore or to scale back participation in a given trade as a function of what the big-trade percent of daily volume might be. This would be COOL. And powerful! I hope I've explained this well enough. [Edited by Jim Dean on 3/12/2013 11:06 PM] | |||
| Juan Regular Posts: 74 Joined: 10/11/2012 Location: Round Rock, Tx User Profile |
Here's a solution that I think would work to reduce this. Since OV and TP are supposed to work as an automated solution, why do we have to be limited to buying and selling at the 8:30am CST OPEN? Why not recreate each strategy to run and execute trades at say 8:30am market open (current default), 9:30am, 10:30am, 12noon, 1:30pm, 2:30pm, and 3pm CST? The idea is really quite simple. For each strategy, run historical equity curves based on buy/sell signals at "after market hours", 9am, 10am, 11:30am, 1pm, 2pm, 2:30pm CST based on real-time data and then execute these 30 minutes later at market open 8:30am (current default), 9:30am, 10:30am, 12noon, 1:30pm, 2:30pm, and 3pm (market close). For example, pretend at exactly 2pm is when the strategies are run and trades are determined, then execute these trades at 2:30pm CST. Take all the strategies and split them across these designated time frames and build the historical equity curves based on this. Then we can select these and reduce the impact of say 500 users buying/selling the same symbol at 8:30am CST. For example, the strategy R18-B-SP, Nirvana would build seven new strategies with the following names: R18-B-SP(keep orig name which runs at 8:30am), R18-B-SP_0930AM, R18-B-SP_1030AM, R18-B-SP_12PM, R18-B-SP_130PM, R18-B-SP_230PM, and R18-B-SP_3PM. Even though 8:30am or 3pm will show the highest gains, I would surely select strategies that executed at other time intervals simply to reduce the risk and slippage. It may be difficult to build equity curves back to 2000 but surely we can go back to 2007. I know several data vendors have this. Also, the historical equity curves at these time different time intervals are an absolute must to buy into these strategies. Since OV and TP are supposed to be a fully automated trading solution that runs unattended, executing trades during regular market hours should not be a stretch. And if OV/TP is really moving to real-time trading, then it's a must to have. I think this would be easiest to implement and reduce the open gap issue that will certainly reduce profit over time if everyone is making the same trades in concert. Lastly, I've done much analysis on NSP-33, NSP-41, and the T3 suite and noticed that returns are typically higher when you buy/sell at the close (3pm CST). The problem with executing this, of course, is if you have a regular job, you're not able to do this during business hours. Thus, you're stuck running this overnight. But the TP/OV solution can overcome this and much more with the multiple timeframe solution I just described above. IMHO, I really believe this solution makes sense and hopefully the Nirvana Team will bring this into consideration as they progress into OV/TP real time trading. | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
However - some strategies are not as sensitive to specific entry and exit times as others might be - generally speaking, strats with short hold times are more sensitive than those with long hold times. So - if Nirvana wants to spread the processing and submission of the orders across the day, they could do so with an arbitrary rule of some sort, based on the historically typical trade duration - strat's with short hold times (like RTM) would fire in the first hour or so, and those with the longest historical hold times (like longterm trending) would fire later in the day. The impact of doing this would be a guess - it could not be back tested. Finally - reality check - for now and probably for some time to come, as long as good LIQUIDITY CHECKING is done (per my suggestion two posts ago), this concern can be minimized. Sure, OVest will be like a fund manager, but at first it will be a pretty small fund. Eventually the number of participants will grow large enough for this to be a bigger issue, but by that time Nirvana should have plenty of operating income from OVest to warrant more exhaustive solutions to this. I really hope that the suggestion I made in item #2, two posts ago, will be seriously considered - that is, teach OVest to "monitor itself" regarding the overall number of shares that it is submitting (for all users that selected that strat, factored by percentages etc) for a particular symbol entry or exit on a particular day, as a percent of that symbol's average daily volume. If we could see that stat in an OVest, and have a Money Management user input to block or scale back participation when that percentage is too high, I believe that would provide a practical and relatively easy to code solution. That is - TELL us what the big-composite-trade-excess-slippage danger is on a case by case basis, and LET US DECIDE (manually and via automated MMgmt control) what we want to do about it. [Edited by Jim Dean on 3/13/2013 7:26 AM] | |||
| Jim Thorpe Member Posts: 36 Joined: 10/11/2012 User Profile |
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| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
However, lest we see this as a panacea for the problem - They won't singlehandedly solve the "composite big trade slippage" problem - what they will do is essentially prevent many participants from fully entering the trade in some cases, if the price takes off and never pulls back. Also, for strategies that use limit orders, the historical simulation will be less legitimate - slippage will be reduced but the number of shares (and the number of trades) will not match what would have happened in real life. And, they will create partial fills (unless FOK is used) which are harder for the TP+OVest to properly track and manage (or so it seems). All that being said - the option to use Limit orders on a strategy by strategy basis is a very important need IMHO. [Edited by Jim Dean on 3/13/2013 7:50 AM] | |||
| Jim Thorpe Member Posts: 36 Joined: 10/11/2012 User Profile |
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| hafnium Member Posts: 43 Joined: 10/11/2012 Location: Vienna, VA User Profile |
I did go back and verified that my GX trader fills (entries and exits) on MOO orders exactly matched the OV numbers for the past 4 months. However - I just experienced two slippage events this morning. Out of 7 entries today, I did experience 2 events (vs OV) DVA long OV - 117.63 GXT - 117.71 EXC long OV - 31.93 GXT - 31.96 So, with some egg on my face - I recall my previous statement. Perhaps I was just experiencing Early Adopter Credits. LD | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
You might want to check the numbers again tomorrow. Maybe OV / TP is correcting their numbers, after the fact. No, Jim. That is not happening. - Ed See my reply to this thread below. | |||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
An interesting concept for OV; to morph into a "Nirvana managed" investment portfolio. No conflicts, no system or software failures, no cloud concerns, no requirement for broker stop protections, no fear of being away from a monitor for extended periods, no need to worry about slippage. The only drawback for some would be the hands-off element. [Edited by Fred Gordon on 8/31/2013 11:45 PM] | |||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
I suppose that is a possible future branch-alternative for nirvana but of course they would need to be licensed to do so. I'm not one of those people who would be comfortable with "hands off", but I would prefer a more integrated cloud environment, to reduce the number of connectivity-links and points of potential failure. OmniVest offers a lot of potential for the future, no matter how you look at it. I do hope, however, that Nirvana will soon be able to refocus on OT to get some bugs fixed. OT is where my main interest lies since it allows me to create my own strategies. It will be great when OT is stable and Elite Trader is active! | |||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Need some OT help. I created the custom indicators for the stats you want and added them to an OT focus list. That all works fine. However, I won't be available every day to record them so I need a way to occasionally display the indicator values for previous bars. I suppose I could create a chart template that plots them over time but I don't know of a way to display the actual values for a given bar. Is there a way to do this? Steve |
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