OmniVest User Forums
General Discussion Topics
IB Slippage Data By Order Size and Trade Type
93 replies, 5813 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, 5813 viewings |
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Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile |
Do it one of two ways: 1. Create a second set of the simple indic's that use [1], and add them as additional columns, such as Return atr(14)[1] … or … 2. Add a parameter to the indic's that allow you to change the lookback using the right-click edit > parameters option, ie: #indicator #param "DaysAgo", 0 Return atr(14)[DaysAgo] That's better than plotting them, since you won't have to flip from chart to chart and mess with the cursor to get the value. You can btw use SnagIt to capture the focus list including the custom column outputs as a text file - but that's another story entirely ;-) [Edited by Jim Dean on 3/13/2013 3:12 PM] | ||
| Steve2 Elite   Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Attached is an example of the output. Let me know if it doesn't meet your needs. I'll post an updated spreadsheet about once a month. The portfolio I'm using should generate about 117 TPM. How long I do this will probably depend on how the portfolio does :) --Steve [Edited by Steve2 on 3/13/2013 7:41 PM]  Attached file : Slip Stats 3-13-13.jpg (203KB - 221 downloads) | ||
| Ed Downs Elite Posts: 645 Joined: 2/7/2007 Location: Austin, Texas User Profile |
I think this is an important issue, i.e., if a large number of users trade the same symbol at the Open, will that affect results? A few thoughts that I'd like you to consider, and an answer on this... 1) The Machine by Larry Connors has the same approach as ours, multiple Strategies trading specific symbols. The difference is the # of Strategies, which are mostly based on small variations of parameters. With the addition of new Strategies (like the ones last week) the effect of the same users trading the same symbols will become less and less significant. (Note: Users have said our approach is better than Larry's - see the Forum on competitors.) 2) Our trades are a TINY percentage of the market. Even with about 400 users in OmniVest, unless some people are trading multi-million dollar accounts (which I doubt) we are very unlikely to affect the market at this point. 3) Market on Open is Market on Open. If you are using a broker that supports MOO orders, market makers resolve all the orders before market open, and a fair price is posted. It is THE Open, not the OmniVest Open. 4) We have the most liquid lists in OmniVest - no penny stocks. In my personal OmniVest account, I further limit selections using Account Settings, to 0.5% of daily volume. Doing this, my results have improved a great deal. I suggest users look carefully at their settings and limit trades to the most liquid stocks if they are concerned about "slippage". Now, to answer your question... I find it a little odd that this item did not make the Enhancements Survey I just published. The closest was John W.'s request that we REPORT on fill differences among the various brokers - but no items (that I can find) related to managing trades differently from OmniVest. On this topic, here are my ideas... A) We can establish a Trade Processor condition that establishes Limit orders based on the Open. That is, wait until the Open passes and then establish a Limit price at the actual Open. B) As Mr. Jim Dean suggests, we could provide a quantity of shares that WILL be traded in OmniVest, so users can establish a filter that says, "Only take this trade if OmniVest volume is less than X% of the prior market's volume." But that requires multiple passes across all users. It's a circular process - not easy at all to implement. I see a lot of concern in this thread without a whole lot of empirical evidence, though I can see folks are trying to collect that, which is good. Everyone should know that IB is notorious for trading against customer accounts i.e., looking at demand and trading against the opening orders. So I'd be suspicious of IB if you are using them. We could expend the effort to generate GXTrader vs. IB Fills (per John W's request) and I think that would be instructive. Take a look at Brian D's post earlier in this thread, "hafnium has experienced no slippage on GX versus OV Open/Close values." All the "success interviews" were with GXTrader customers. Makes you think, doesn't it? The question is what we focus on RIGHT NOW. Look, you guys know me. I want this product to be as successful as possible for our members. What helps the most is constructive suggestions on specific things we actually can do in a reasonable amount of time. Extremely complex enhancements that require weeks to program don't help the mission. I mean it takes a user a few minutes to post a complex analytical idea that takes weeks or months to implement. I have asked before, "Do you want us to spend 3 weeks implementing something complex, or do you want us to add more ARM4 Strategies?" I'm putting out another survey next week for the 2nd tier issues. I suggest you guys formulate a specific enhancement regarding Broker Fills that actually addresses the issue, and submit it in the Enhancements Forum so we can get the user population to vote on it. I have to move OmniVest forward in this manner - i.e., the things that benefit the greatest number of users. I'm sure everyone is aware we could NEVER implement all the ideas that some users have posted. Would love to do it, but resource constraints are what they are. | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
That format looks great! | ||
| Juan Regular Posts: 74 Joined: 10/11/2012 Location: Round Rock, Tx User Profile |
The idea I proposed about multiple strategies based on real-time set points ("execute trades at say 8:30am market open (current default), 9:30am, 10:30am, 12noon, 1:30pm, 2:30pm, and 3pm CST") is something that I'm hoping the Nirvana team can consider sometime down the road. Certainly not right away since it would be quite a development effort. I do believe it has merit and will be beneficial for real-time trading. I also believe it's very doable but only in the long run. For slippage and risk controls, I'm all for this but I have to be able back test this and confirm that any new risk controls won't dramatically lower the equity curve. I hope that as your team decides to add risk controls that we're able to run historical simulations. I've noticed in my trading, over the years, that when I put in too many risk controls my returns go way down...like the old saying no risk no reward. I'm all four risk controls but need to confirm that they don't damage the equity curve historically. Once again thanks for the great product and I hope you're having a great vacation. | ||
| Ed Downs Elite Posts: 645 Joined: 2/7/2007 Location: Austin, Texas User Profile |
Yes, I'm on Spring Break with my family, but this is such an important time I feel staying plugged-in is important. I thought your post was fine. You must be the person in the Survey who wrote in about adding too many risk controls. Well said. If you remove all the risk you remove all the returns. Absolutely! I have been pondering the potential effects of large opening orders, and think I have a solution which is similar to what you are saying. The fact that we have many Trade Processor running at the same time gives us a unique advantage. What if the Trade Processors coordinated their submissions so they don't all go in at the Open? Like 8:31a, 8:33a, 8:35a, 8;37a Central Time (and so on). They could be randomly assigned a time slot and then go with that. We can't do it tomorrow, but we could create a new order type ("Market in Sequence") that would do this. The effect would be a slower metering of orders into the market, which is what Buy-Side traders do. Anyway, just a thought I wanted to throw out there.. Thanks. | ||
| gbarber Veteran Posts: 282 Joined: 12/30/2012 Location: Pearland, TX User Profile |
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| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
I concur with Ed's above comments about IB from experience. | ||
| gbarber Veteran Posts: 282 Joined: 12/30/2012 Location: Pearland, TX User Profile |
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| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
Originally written by edowns on 3/14/2013 12:55 PM 2) Our trades are a TINY percentage of the market. Even with about 400 users in OmniVest, unless some people are trading multi-million dollar accounts (which I doubt) we are very unlikely to affect the market at this point.... I see a lot of concern in this thread without a whole lot of empirical evidence... Ed, I think there is empirical evidence that if OV trades its position all at once that it is likely to affect the price of smaller traded symbols and as OV grows this is likely to become more pronounced. I had a stab at this on Feb 8 Post #23570 http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4277) and also on Jan 24 Post 23195 http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=4243). If my numbers below are wrong re the average OV account size then please adjust my attempt at quantifying this so that the empirical data is better. On 8 February I wrote: "In another thread on January 24 I mentioned that in the Russell 1000 I ran an OmniScan to find out how many stocks on average traded less than 1000K, 2000K and 3000K per day [e.g. Avg(C,14)*Avg(V,14) < 1000000]. I’ve run that again today and there were 44 in the less than 1000K category, 156 in the less than 2000K category, and 258 in the less than 3000K category. Using my belief that 3% is the maximum to trade before the price starts to move then 3% of these 3 categories is 30K, 60K and 90K respectively. So let’s take the higher example, the 3000K/day traded stock. At the moment there are 400+ members in this forum. Let’s imagine a really popular strategy is followed by 50% or 200 OV users. Let’s imagine the average account size is 50K, and that 10% or 5K is the normal trade size. So at a particular time 200 OV users place 5K on stock ABC at market open (or the next bar open on a real time strategy), and sell it another few days (or bars) later. This is more than 3% of the daily traded volume to be placed by a group of OV users acting as one at one point in time. My belief is that this will cause a gap in the price for the 258 stocks in the less than 3000K category, bigger gaps in the 156 stocks in the subset trading less than 2000K and even bigger gaps in the smallest 45. My other belief is there will be the fall off in performance of the particular OV strategy in play in the smaller symbols lists because now the group of OV users trading this strategy as one will experience a gap up when they buy and a gap down when they sell, lessening returns over time. It’s not hard to imagine that some people trading OV may put on larger trades than the $5K example, that the number of OV users could exceed 1000 or even 10,000 (one competitor claims more than 65,000 members!), and even hedge funds and other big players may be attracted to OV. The 100K traded on single stock could grow massively which will cause many of us to re-evaluate our returns on smaller symbol lists. If the number of users using OV jumped to 1000 then the cut off in my example is 6500K and only the top 500 stocks have the possibility they will avoid some form of slippage caused by OV users acting together. At 10000 users only the top 62 stocks escape the possibility of OV induced slippage if we all act together as one! In summary I'm saying that it may be a waste of time building a slippage model for a single account. There won’t be observable slippage caused by that single account, just gaps and future performance issues in smaller lists in particular. The way that I’m hoping Nirvana plans to combat this is to consider adding many more strategies and introduce other data sets such as futures and options, even FX and different time frames, even other country lists, limit orders and other Elite strategies offered by others to keep growing the universe of available alternatives so that as the number of members in OV grows the risk of opening gaps is kept manageable so as not to damage the future performance of OV. Nirvana could also introduce random small purchases throughout the day in the same manner as the big players in the market, and also could limit membership or the number of strategies to be traded. Ed has already mentioned some of these alternatives so I’m firmly in the camp that the guys in the control room at Nirvana have a path mapped out, and over time the building blocks will come together." John [Edited by John W on 3/14/2013 6:55 PM] | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
I disagree however regarding the value of slippage modelling. I think that slippage, for whatever cause, is a relevant and potentially important aspect of trading - regardless of whether it's individual or via OmniVest. There is nothing that Nirvana can do to eliminate this inherent aspect of trading. Bid and Ask will always be different. If not there would be no market! The REASON that I believe it's important to model slippage in the historical simulations is to make those simulations more true to life. I strongly believe that SOME kinds of strategies are much more susceptible to slippage, while others are less sensitive (easy to prove if anyone disagrees). The core concept of OmniVest is to mix and match strategies to get consistent gains with low drawdowns and wise usage of capital. We can only do that intelligently if the equity curves and statistics that are the building blocks of our decisions are as true to life as possible. Since slippage is not an "even Steven across the board per share" kind of impact (like commissions or margin costs) - since it does impact some strats more and some less - and some symbols more and some less - I think it's critical to include an telligent parametric model of it for the simulations. The important thing is not for the slippage amount to be absolutely correct - but rather that it realistically represents how different strats and symbols would react differently to it. And once again, I'm offering to provide working code to Nirvana, at no charge, to implement a healthy slippage model, so that it won't steal too much time from other development endeavors. The model is such that it can be turned off by users who don't want it, and adjusted/scaled by users with differing "beliefs" about its magnitude. Thanks for listening. [Edited by Jim Dean on 3/14/2013 7:14 PM] | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
I agree with Jim's rationale about slippage too. It's just that I think it’s going to be felt at the OV level by all users; it’s not just an individual account issue. Even if there was one single large account using OV and inducing slippage, that slippage would be felt by all. It’s a moot point one way or the other, let’s just accept slippage will occur and Jim has proposed a solution. Jim has a number of times offered his own work to Nirvana, not only on the issue of slippage but also risk management and position sizing and I'm hoping that Nirvana will take him up on his offer(s), but I've seen nothing yet to indicate that may happen. This is overdue for response. I've proposed to Ed a simple empirical formula above that shows if OV trades its position all at once then it is likely to affect the price of smaller traded symbols and as OV grows this is likely to become more pronounced. I’m genuinely hoping that Nirvana will take this input (and Jim’s) on board in their system design. John | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
I'm also in favor of slippage modelling. | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
[Edited by Jim Dean on 3/14/2013 8:05 PM] | ||
| gbarber Veteran Posts: 282 Joined: 12/30/2012 Location: Pearland, TX User Profile |
[Edited by gbarber on 3/20/2013 12:13 AM] | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
TP users want the TP to be generally as smart as they are, in terms of obvious general rules that the "average guy" would agree with. ... or to put in another way ... TP users are unhappy if the TP acts in an obviously dumb manner that costs them money which they definitely would not have done manually. Big opening gaps are an obvious example of this ... but there are probably other such "aww, come ON, Mr.TP, you shuda known better than t'do THAT!" kinds of things that will be noted as time passes. So, I hope Nirvana will create a "functional basket" in the TP for rules like this that the User can activate &/or tune in the TP settings. [Edited by Jim Dean on 3/20/2013 12:15 AM] | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Something like the current "Account Settings" page with rules / parameters that could be checked and adjusted as desired; "Allowable Gap +/- %" Different order types and limits Etc Not a programmer, but it seems that if the "basket" is included in this early beta stage it would simplify the process of adding improvements as they become apparent later. Mark | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Ed wants simple solutions that can be implemented in a reasonable amount of time. I'm with Jim on wanting the TP to be "intelligent" enough to not do "stupid" things, and to trade as I would. (only better...) Overnight gaps, slippage, unscrupulous brokers, sundry market conditions beyond my control. To me, it all comes down to this - can I buy the stock at the entry target my strategy made it's recommendation based on, or not? If I can't get the stock at the target entry, I want TP to forget the trade and move on to a more favorable trade. OV can generate MANY more trade opportunities than I can afford to take. OV doesn't know what market conditions will be tomorrow, and hence can't really make intelligent decisions about what trades should be taken. Trade selection needs to be a "late binding" affair (borrowing from computer science vernacular). TP should have a long list of potential trades, look at the market (bid prices), and take the most favorable entries. IMO that means limit fill-or-kill orders taken after the market opens. What does late-binding buy? Too many people wanting the same stock? TP will look for a better deal. (So the demand is spread out by TP real-time.) Overnight gaps? TP will pass on the trade since the stock can't be bought at the target entry price. Internet outages? Broker not available? TP will look at the market once service is restored and decide if any favorable entries exist. Add MOC exits and TP would be a KILLER product for EOD traders. (And process closing orders prior to new entries to free up buying power.) I love to call it Intelligent Order Processing - (IOP). And if Nirvana doesn't do it, I might write it myself. :-) Simple, elegant, implementable, applicable to real-time trading... Cheers Keith | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Mark | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
I've made only 60 trades so far so way too early to draw conclusions. Currently, average slippage is $.005 per share or just about equal to commission cost. Attached file : Slippage History - IB Live 1 Thru 13-03.xlsx (21KB - 232 downloads) | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
[Edited by Fred Gordon on 4/1/2013 4:12 AM] | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Steve | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
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| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
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| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Slippage for the month of April was positive and overall slippage is now slightly positive (plus $5 since inception). 153 trades have been executed so it's still early but so far there appears to be little correlation with order size. Starting in May, I am changing opening orders from market orders to day limit orders at the previous trading day's closing price. My analysis of the first two months of trading show this would significantly increase portfolio returns. So we shall see. Will report back in a month. Steve Attached file : Slippage History - IB Live 1 Thru 13-04.xlsx (30KB - 213 downloads) |
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