Do you pay attention to slippage?

[cooker]

I reviewed my IBKR transaction cost report for last year; I incurred 30 basis points in slippage on average and paid 32.5 cents per 100 shares commission. It works out to around $55,000 in costs, or 8% of my gross profit last year.

 

[gunner_trader]

Hi cooker
Just curious, what exactly is “ slippage”?

 

[cooker]

Hi cooker
Just curious, what exactly is “ slippage”?

Fill price vs the bid/ask midpoint.

 

[Robert Morse]

Fill price vs the bid/ask midpoint.

I would not define slippage as the difference between the midpoint and the bid/ask and then you enter market orders and expect better. I would define slippage as entering a market order and the impact of your order moves the price or when you miss the opportunity to buy/sell at the current best prices.

 

[deaddog]

Slippage to me is the difference between my stop price and where I get filled.
No slippage on buy orders as they are limit orders, although I may get filled for less in some cases.

 

[cooker]

I'm more interested in using it as a measure of transaction costs for backtesting/modeling.

 

[deaddog]

I'm more interested in using it as a measure of transaction costs for backtesting/modeling.

8% seems like a good number if that's your historical number. It seems high to me as I'm looking at basis points.

 

[cooker]

8% seems like a good number if that's your historical number. It seems high to me as I'm looking at basis points.

I trade some stuff thats not terribly liquid.

 

[tomas262]

5-10% given up on slippage, hate it

 

[d08]

This market infrastructure sucks. Imagine if you were dealing with a rapid auction type market where slippage would be >1%.