how to correct these horrible fills ?

J

jjk2

yesterday, i submitted a pending order for the following

2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)

all of these orders had very large breathing room (lmt is 200 pips away from the stop price). i gave it a large breathing room so that I have high probability of getting complete fills.

and today, all of it was filled. HOWEVER! these are the prices they were filled at

1.4500
1.4503
1.4480
1.4484
1.4470
1.4470
1.4473

avg price @ fill : 1.4483

100 PIP SLIPPAGE! i suspect this is because I gave it too much breathing space ? so should i use something like 50 pips away from stop price for limit and face the risk of getting partial fills ?
 
Canada unemplyment was a hell of lot better than expected at 7am est. The US dollar fell big time, your fills are proper base on the surprise number at 7am.


Quote from jjk2:

yesterday, i submitted a pending order for the following

2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)
2000000 EUR.CAD SELL STPLMT @ 1.4580(stp price), 1.4380(lmtprice)

all of these orders had very large breathing room (lmt is 200 pips away from the stop price). i gave it a large breathing room so that I have high probability of getting complete fills.

and today, all of it was filled. HOWEVER! these are the prices they were filled at

1.4500
1.4503
1.4480
1.4484
1.4470
1.4470
1.4473

avg price @ fill : 1.4483

100 PIP SLIPPAGE! i suspect this is because I gave it too much breathing space ? so should i use something like 50 pips away from stop price for limit and face the risk of getting partial fills ?
More...
 
As a % or points remember, g/c is 2 and E/C is 1.4, so check to see if it was the same % of points, should have been. Since the only currency moving at 7am was Funds ($/cad)

Quote from jjk2:

ah i see.

but my GBP.CAD position didn't face as much slippage...
More...
 
eur/usd and gbp/usd should have remained unchanged during this time so the only influence would have been $/cad. So both should have had the same % fills.

Quote from forex-forex:

The GBP must have held up better than the EUR against the CAD at 7am EST.
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