Globex Native Stop Orders and Slippage

W

ww3361

Hi,

When trading GC I'm frequently suffering high slippage on my stops ("stop market with protection"). Most of the time its 0-4 prices of slippage. But on occassion it can be almost anything you like.

Yesterday (23rd Oct 2014) I experienced 20 prices of sliipage.

Is this just part of the game, or should I be doing something differently?

I have to use stops btw.

I use stoplimits for entry which controls the slippage situation and have only had one missed fill in 1.5 years.

But for exits am not sure from a risk POV if I want to also use stoplimits.

What are other people experiencing slippage wise with GC?

Many thanks
 
GC has always had bad slippage, nothing you can do about his.
Makes it unsuitable for short term trading.
Longer term trading with wider stops means slippage is less as a percentage of your PnL.
 
It depends on the underlying market. For a fair comparison, you’d have to be using a DMA platform alongside, doing the same deal sizes, and comparing the two. It’s very, very difficuklt to judge.


Perhaps you’re better off using a DMA provider instead? Then you don’t need to worry, you know you’re getting the ‘market’.
 
ww3361 said:
Is this just part of the game, or should I be doing something differently?
More...

Asking the question "what creates slippage". Slippage is the difference between where you expected you could execute and where you could realistically execute. So there is something wrong with your model of the market you are trading. Why do you think your perception of how the market works is at odds with reality and what do you propose to do about it?

You should be considering market microstructure and the nature of the various participants in trading. Beyond this, you should then seek to understand how and why liquidity varies (for both sides of the market) and how other participants create/repond to these conditions. Study the times you experienced slippage and try to model what was going on with other participants (adding/removing liquidity) and why. Were you doing something predictable with a bunch of other people I wonder...
Perhaps you should question your use of stop orders.

What are other people experiencing in this contract? Depends on their size, timeline, strategy surely.
All my trades are done with limit orders. Depending on strategy and order flow I will cross or not cross. Crossing done with a limit order priced a few ticks through the inside market. So I don't experience the slippage you describe and I don't wait for a "stop" to be hit to exit a trade.

This might help you: what is the difference between "anticipate" and "react" in trading and how does this relate to popular use of "stop" orders?
 
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