I have an intraday strategy that is sensitive to slippage. What is the best algo/route to minimize slippage against NBBO mid price at the time of placing the order? I am OK with filling the order passively and slowly. The daily turnover of the stocks I am interested is $100M+ but not extremely liquid.
How to minimize slippage against NBBO mid price?
- Thread starter ppy93
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You could split the order into multiple orders, each with different price offers, and so effectively applying averaging down... to finally get/catch the MP, or maybe even better... ie. reducing slippage.
Last edited:
Robert Morse
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This is going to vary from symbol to symbol and day to day. I would start with trying TWAP and VWAP orders. I would also try a Mid-point peg order to NSDQ or ARCA and the same to a dark pool. Then examine the data to see what works best and has the lowest market impact.
Thank you. Do you know which brokers have to access their service?
Do you mean placing various limit orders at different prices within the spread?
Thank you and I will give it try.
Yes, for example half of the qty x amount below the MP and the other half x amount above, resulting in MP when both get filled.
Of course will take longer, and in the meantime the previous MP will have moved...