large cap bid-ask spread and trading algo performance

S

sharon2023

Hi,

I plan to trade large caps, e.g. stocks in S&P 500, using trading algos, but I don't know what kind of slippage I should expect.
I tested IB VWAP with its paper account and the slippage was about 4.2 bps, which seems pretty bad to me.
Is there anyone who knows how many bps the large cap bid-ask spread is on average?
Any experience with IB algos like VWAP, Arrival, etc?
Thank you!
Happy Easter everyone!
 
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earth_imperator said:
I cannot believe people using market orders.
Limit order has 0 slippage.
More...

O slippage with limit orders is not accurate, because of adverse selection:

Algos are allowed to offer 1/100th of a penny and sit in front of your order, giving you your fill when the algo "thinks" it is good for it to do so.

Side Note: sometimes a fill is needed when a stock is moving and you pay up into a wider spread to do this.
 
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