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Slippage TF with Market Orders


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Slippage TF with Market Orders

  #1 (permalink)
TraderMaze
Nuremberg, Germany
 
Posts: 10 since Oct 2013
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Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

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  #3 (permalink)
 
Daytrader999's Avatar
 Daytrader999 
Ilsede, Germany
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TraderMaze View Post
Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

Hi @TraderMaze and welcome to futures.io (formerly BMT) !

On the Russel I usually get a maximum of 1 tick slippage on entry and most often no slippage on exit.

But of course this depends on market conditions such as volatility and liquidity.
IMO calculating with a slippage of 2 ticks RT should be fine.

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
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  #4 (permalink)
TraderMaze
Nuremberg, Germany
 
Posts: 10 since Oct 2013
Thanks Given: 6
Thanks Received: 1


Daytrader999 View Post
Hi @TraderMaze and welcome to futures.io (formerly BMT) !

On the Russel I usually get a maximum of 1 tick slippage on entry and most often no slippage on exit.

But of course this depends on market conditions such as volatility and liquidity.
IMO calculating with a slippage of 2 ticks RT should be fine.


Thanks Daytrader999

Have read in the forum that you use the VPS from Sam028.
So i wanted to know if your Slippage on the TF was with or without the VPS?

And you still use the VPS? If so, the slippage was a lot smaller by using the VPS?
I’m also from Germany and have at Speedtest.net a ping of 133ms to Chicago.

Thanks,
TraderMaze

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  #5 (permalink)
 
Daytrader999's Avatar
 Daytrader999 
Ilsede, Germany
Site Moderator
 
Experience: Advanced
Platform: NinjaTrader 8
Broker: Rithmic / CQG / Ninja Trader Brokerage
Trading: NQ
Posts: 1,525 since Sep 2011
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TraderMaze View Post
Have read in the forum that you use the VPS from Sam028.
So i wanted to know if your Slippage on the TF was with or without the VPS?

And you still use the VPS? If so, the slippage was a lot smaller by using the VPS?
I’m also from Germany and have at Speedtest.net a ping of 133ms to Chicago.

Thanks,
TraderMaze

Well, the slippage on TF mentioned above occurred on my home trading PC.

Yes, I still use one of Sam's VPS, it's mainly used for trading CL and NQ.
From my VPS there is a latency of about 1-2 ms and from my trading PC at home the latency sometimes is even worse than yours.

But bottom line, the slippage should be less when trading from a co-located VPS, but it does not necessarily has to be that way because this depends on the various factors like market condition, liquidity etc. as well.

"If you don't design your own life plan, chances are you'll fall into someone else's plan. And guess what they have planned for you? Not much." - Jim Rohn
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 kevinkdog   is a Vendor
 
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TraderMaze View Post
Hi there, This is my first post to this forum!

I am backtesting a strategy on the TF. I will trade 1 Contract during the day session (9.30 to 16.15). Not on News events.

How much slippage can i expect on the TF on a Roundturn with market orders?

For example:
Open with Buy-Stop-Order at 1120.0
Close with Sell-Stop-Order at 1130.0
These are 10 Ticks x $10 = $100 - $?? Slippage

I have calculated with 2 Ticks Slippage. 1 Tick for the Open Trade and 1 Tick for the Close Trade.

Ist that realistic?

Thanks,
TraderMaze

It depends a lot on when the order is placed. I have gotten 4-5 ticks of slippage on market orders placed right at the open at 9:30 AM.

I would say 2 ticks slippage per round turn is probably a good number to use. It might be a little conservative - your results might be better - but I think it is always better to err on the side of caution.

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Last Updated on November 4, 2013


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