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General Discussion Topics
IB Slippage Data By Order Size and Trade Type
93 replies, 5812 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, 5812 viewings |
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Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile |
Slippage for market orders submitted before market open remained slightly positive at $0.001034 per share. Slippage for the limit opening orders was more positive at $0.042941 per share. This resulted in a positive gain of $322 during the month, however, to assess the true impact one has to factor in the P/L of trades that did not fill. During the month 10 opening trades did not fill and 9 of those have been closed out by OV. The impact of those 9 trades was a profit of $496 that was not realized. So, the net impact of using opening limit orders was $322 - $496 = ($174). Since, I believe the use of opening limit orders still has promise, I'll continue to use them for another month and report back at the end of June. Steve  Attached file : Slippage History - IB Live 1 Thru 13-05.xlsx (39KB - 262 downloads) | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
Fred Gordon | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Mark | ||
| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
Thanks again for the detailed info and time spent. | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Slippage for market orders submitted before market open turned slightly negative at $(0.000352) per share. Slippage for the limit opening orders remained positive at $0.069690 per share. This resulted in a positive gain of $1,248 during the past two months, however, to assess the true impact one has to factor in the P/L of trades that did not fill. During the past two months 18 opening trades did not fill and have been closed out by OV. The impact of those 18 trades was a profit of $1,334 that was not realized. So, the net impact of using opening limit orders was $1,248 - $1,334 = $(86). Since, this is an improvement over just the May results, I'll continue to use them for another month and report back at the end of July. Also, I'm adding funds to the account (normally the kiss of death), so I'll be collecting data on larger order sizes. Steve p.s. If anyone from Nirvana happens to read this, I was wondering if you all simulated the use of limit orders at the previous close when designing OV. If you have done this and the simulation showed it does not improve results then please let me know and I can abandon this approach... thanks Attached file : Slippage History - IB Live 1 Thru 13-06.xlsx (51KB - 241 downloads) | ||
| Fred Gordon Legend Posts: 481 Joined: 10/11/2012 Location: Fayetteville, Ga User Profile |
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| Jim Dean Elite  Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
Thanks very much for doing this. I wish Nirvana would do this - drawing info anonymously from all TP transactions and filling in the table. We really need a huge amount of data to draw useful conclusions. You mentioned that you are about to "add funds to the account". I thot that your prior trades that you were reporting on were from a funded account. Was I incorrect? Was it a Paper account? I would NOT expect paper accounts to show any kind of meaningful slippage since the orders aren't actually being fed to the exchanges. Or, if the orders are small ones (such as you see on the far left of the equity curve), I would not expect the slippage to be meaningful unless VERY illiquid stocks were being traded. The gotcha with slippage is when trade sizes become an appreciable fraction (say, 0.1% or more) of the avg daily vol for that stock. That's what the middle and right of the 13 year equity curves are generally dealing with. That's what IMHO needs automatically estimated slippage modelling in OVest and PortSim - to help make those wild and wonderful equity curves a bit more realistic. So - if you truly want to be a martyr for the cause and throw some real money at a portfolio that has significantly less-liquid stocks BUT does show a pretty nice OVest curve and decent strats, let me know and I'll pass on the portfolio and allocation info. It's using the strats that are all-long, based on MG groups of symbols for market-rotation type trading. I found in my simulation R&D that the curves were extremely sensitive to ANY filtering of the volume - which tells me that the trade sizes got to be appreciable fractions of the daily vol for those stocks. I'd try it myself but I just don't have adequate funds to do meaningful testing of it at this time. [Edited by Jim Dean on 6/29/2013 7:36 PM] | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
The data posted here is from a live account. Since the strategies are performing as expected, I'm just adding more funds. This will push the average order size up to about 500 shares. I agree completely that slippage is an issue when trade size becomes an appreciable fraction of daily volume. That's why I'm only trading stocks with average daily volumes greater than 1M shares ( and not interested in trading illiquid stocks, sorry). I'm really trying to see if there are correlations with other things e.g., order type, exchange used, order submission time, etc. I was also hoping others would post slippage data for the other brokers so we could compare but so far no takers. I too wish Nirvana would publish daily aggregate trading volumes for each symbol so we could track how much volume OV drives or might theoretically drive since I don't know how much live trading is actually being done. An interesting observation about paper accounts. I've been running TP against a paper account for quite awhile submitting market orders before market open (not MOO). While I haven't been formally tracking slippage, it appears that the fills are worse in this account than in my live account. So, one of the things on my list is to figure out whether this is due to the fact that it's a paper account or an artifact of the order parameters TP is using. Steve [Edited by Steve2 on 6/29/2013 9:55 PM] | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Mark | ||
| 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 |
Slippage for market orders submitted before market open is once again slightly positive at $0.0043 per share. Slippage for the limit opening orders remained positive at $0.062678 per share. This resulted in a positive gain of $1,213 during the past two+ months, however, to assess the true impact one has to factor in the P/L of trades that did not fill. During the past two+ months 21 opening trades did not fill and have been closed out by OV. The impact of those 21 trades was a profit of $2,115 that was not realized. So the actual impact of submitting opening limit orders was $1,213 - $2,115 = $(902). Note: I'm not sure how much longer I will continue to publish this data. The data collection is a pain and I've accomplished my primary goal which was to assess the impact of IB slippage on P/L. My assessment is that IB slippage is a non-issue for order sizes that I expect to be submitting over the next several years. Steve [Edited by Steve2 on 8/1/2013 8:08 AM] Attached file : Slippage History - IB Live 1 Thru 13-07.xlsx (60KB - 206 downloads) | ||
| gbarber Veteran Posts: 282 Joined: 12/30/2012 Location: Pearland, TX User Profile |
Thank you very much for sharing this very valuable data with us. | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
If anyone has data re less liquid stocks (Steve is using > 1mill/day) please let us know. Nirvana if you are testing with iB then hopefully you can tell us something. | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
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 | ||
| Bob123 Veteran Posts: 121 Joined: 10/11/2012 Location: North Andover, MA User Profile |
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| BrianD Legend Posts: 302 Joined: 2/23/2013 Location: Grand Rapids, MI User Profile |
My TPM is over 100 on this account. | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
Unfortunately, the new interface changes have broken the ability to get all of the OV Historical Positions. I'll get you the metric once that's working again. Steve | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
I can answer your question now. My actual return from Mar 6th through Aug 7th was 19.36%. The OV Trade History for the same period showed a return of 16.80%. The difference was primarily caused by two things. On the positive side, I stopped out 4 trades for significantly higher gains than OV achieved. I have my account settings setup in a strange way. I round up to the nearest 100 shares and I do not have a limit set on the percentage of my account value that can be allocated to a single trade. This means that when OV selects a high-priced stock (e.g., GOOG, AAPL) it can chew up a high percentage of my account value. I was very nervous about doing this but the simulation showed it resulted in significantly higher gains. So, for the first few months of trading I used stops to try and preserve gains and protect against large loses for any trade that was greater than 40% of my account value. I've since relaxed a bit and no longer bother to do that but it did prove to be a successful approach early on. On the negative side, I experimented with placing opening day limit orders at the previous trading day's closing price. While this resulted in positive slippage against OV's entry points, it resulted in some no fills that actually reduced my returns over what OV was achieving so I've discontinued that. I am not using TP on my live account and have not experienced any issues with trades not being filled (other than when using limit orders). Out of the 218 opening trades I've submitted (excluding the limit orders that didn't fill), I've had one partial fill and zero no fills. I always submit market orders before market open rather than MOO orders. I have been running TP continuously for the past 80 days on a paper account and have not experienced any no fills but I'm not sure that really means anything. Which broker are you using? Steve [Edited by Steve2 on 8/9/2013 8:12 AM] | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
I'm running live on GX, virtually unmanaged, on an AWS cloud server. I started with an account running about 30 strats back in March. It had good returns, admittedly much better before the commission increase, but even after margin costs and the platform fee, making dozens of trades a day. But it missed a lot of trades for various reasons...and I don't even want to think about doing my tax return now. :-( In the end, however, the return, although significantly beating the S&P, was only about half of what OV showed over the same period. So, I switched to an account with fewer strats. It still misses the ocassional trade or two (not shortable, couldn't get a price, exceeding overnight limit, data hickups, etc.) but has tracked OV much better over the last month. Unfortunately, the return hasn't been as good (albeit, its hard to compare short term returns in different market conditions). This one seems to bear much more market risk, meaning it more closely tracks the S&P500. I think that is probably because it uses more of the trend-following strats than my prior portfolio which was mostly just quick RTM trades. | ||
| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
I think your work supports the Intelligent Order Processing (IOP) approach I've evangelized. If TP used real time pricing data to only enter trades at the target price (or better), that would map your experience placing limit orders, If TP had a plethora of trade opportunities supplied by OV and performed "late binding" of opportunities to actual trades based on real time market pricing, those 21 missed trades would have probably been replaced by 21 other trades that met or bettered the target entry price. Assuming those trades performed as well as the trades you actually took, you would be even further ahead. (Closer to 100% invested anyway...) IOP would also provide "load balancing" between trade opportunities, allowing more OV users to trade the same strategies without impacting entry prices due to too many orders chasing the same symbol. Nice work! Cheers Keith | ||
| 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 |
Note that I have stopped collecting volatility, volume, opening gap, and daily range data -- sorry Jim but it was too much work. Those columns have been deleted from the spreadsheet. 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 negative at $(0.000792) per share. This was caused by a single anomalous closing trade (LLTC on 8/13). The stock gapped up 5% at the open and retraced down to the previous close within one second of market open. OV, of course, recorded the opening price as its exit price but my market order filled after the retracement. This resulted in $798 of negative slippage. Based on pass results, I would expect this to be recovered over the next 3 or 4 months. Well see... No opening limit orders or MOO orders were submitted this month so those stats remain the same. Steve [Edited by Steve2 on 8/31/2013 10:39 AM] Attached file : Slippage History - IB Live 1 Thru 13-08.xlsx (57KB - 214 downloads) | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
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| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
My hats off to you for keeping such meticulous records! Nice returns too. Mind sharing the ballpark account size? I see similar returns with my 100K simulation account, but real world returns on a smaller account (started at 5K, now 20K) have gone nowhere. (I still contend size matters with RTM trading...) So now I'm starting to keep more detailed records too. (Which obviates some of the benefits of set-and-forget black box trading!) Keith | ||
| Steve2 Elite Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD User Profile |
I started with $50K in March and added another $50K at the beginning of July. My commissions and margin interest are running about 8% of profits. With a $1 minimum commission, there's definitely a minimum account size that makes sense for RTM strategies but I haven't investigated what that is. When I started, I wanted an account size that would enable the average trade to be above 200 shares to minimize the impact of the minimum commission. $50K gave me an average trade size of 250 shares given my strategies and account settings. Steve [Edited by Steve2 on 9/2/2013 10:44 PM] |
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