NASDAQ Stocks - Bid-Ask and Slippage experience

Quote from gmst:

Thanks a lot for your suggestions and tips :)

What data source do you consider good for stocks historical data? I had read somewhere on ET couple years back that IQ feed has wrong intraday high and lows values in historical data.
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For intraday I'd go with IQFeed but for EOD, believe it or not - Yahoo Finance. No data source is without errors and you probably need to consider the price too. Yahoo is backadjusted for splits and dividends, the only free provider to currently do so.
 
d08 posts on liquidity and spreads are spot on. but if you want to dig down even further-i would suggest you to record live data,store it and analyze it. lot of work,but.. as for fill-that would be totally different story. also depends in liquidity and size. i'm trading 1/4 of my size per stock from 2010 levels. keep in mind-you not going to have problems with fills for losing trades.

another way-since you mentioned IQ-you can download their tick data and use it,to see (or backtest) spreads\fills
don't know what fields they provide now(cause in tick request they use to provide last trade+size and prices on bid and ask(but no sizes on each side). better than nothing and can be useful.

but bottom like-there is no way to predict the spread at first 30 min of open(cause it's changing all the time). specially on low volume stocks.
it can stay wide for a very long time. i'm talking about 0.5-1% and higher
 
Quote from Bob111:

d08 posts on liquidity and spreads are spot on. but if you want to dig down even further-i would suggest you to record live data,store it and analyze it. lot of work,but.. as for fill-that would be totally different story. also depends in liquidity and size. i'm trading 1/4 of my size per stock from 2010 levels. keep in mind-you not going to have problems with fills for losing trades.
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Yes, going to store the live data. Not going to have problems for fills on losing trades. Great to know! :D

About execution, I am going to start research with the assumption that I would be buying ask and selling bid. My reasoning for not trying to be bidding at bid comes from the stories I have heard. Like when price is going to go up, some HFT will subpenny me and get filled and I won't get filled if I am bidding at bid. However, if I cross the spread, I will hopefully have a much higher chance of getting filled.

Do you think this approach makes sense or am I better off in bidding at bid, offering at ask and waiting?

Quote from Bob111:

another way-since you mentioned IQ-you can download their tick data and use it,to see (or backtest) spreads\fills
don't know what fields they provide now(cause in tick request they use to provide last trade+size and prices on bid and ask(but no sizes on each side). better than nothing and can be useful.
More...

Which data source do you use? Do you think historical data of IB for stocks is completely useless and can't be used for research? I found historical data from IB for futures was quite ok.

Quote from Bob111:

but bottom like-there is no way to predict the spread at first 30 min of open(cause it's changing all the time). specially on low volume stocks.
it can stay wide for a very long time. i'm talking about 0.5-1% and higher
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0.5-1% crazy. Thanks it is very useful to know. Having traded only most liquid futures, this low liquidity stock game is a completely new thing. And I have a nagging feeling that I am going to burn myself in the first few months.
 
you are assuming worse case(which is always a good thing). if after that you still profitable-then you can always try to buy at bid.
as we speak-i was trying to buy at ask some s**ty stock-six times i hit buy at ask and 6 times someone is on front of me,buying those shares. how about that? 6 TIMES IN THE ROW! buy at ask.no fill. zero shares. stock shoot straight up 7% against me.
 
Quote from Bob111:

you are assuming worse case(which is always a good thing). if after that you still profitable-then you can always try to buy at bid.
as we speak-i was trying to buy at ask some s**ty stock-six times i hit buy at ask and 6 times someone is on front of me,buying those shares. how about that? 6 TIMES IN THE ROW! buy at ask.no fill. zero shares. stock shoot straight up 7% against me.
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Only one word - fcuking crazy. I can see you must be so upset. Probably in this case, using a mkt order would have gotten you in the position, its hard to test these kinds of various order fill assumptions in a backtest.

It seems that simply there is no substitute for experience in this field of stock trading.
 
Quote from gmst:


It seems that simply there is no substitute for experience in this field of stock trading.
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yes. and things are pretty bad right now. stock market is drying and dying.try small first. if it working-slowly increase the size.
keep eye on your fill ratio. keep eye on size of positions between losers and winners(specially on low volume\liquidity stocks)
you don't want to have 1/3 of the your size for winner and 100% for loser all the time. if you have this situation multiple times-this mean your size is too big.
 
Quote from Bob111:

yes. and things are pretty bad right now. stock market is drying and dying.try small first. if it working-slowly increase the size.
keep eye on your fill ratio. keep eye on size of positions between losers and winners(specially on low volume\liquidity stocks)
you don't want to have 1/3 of the your size for winner and 100% for loser all the time. if you have this situation multiple times-this mean your size is too big.
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Very useful to know. Thanks for the tip on gaining information about size from fill ratio. Appreciate it. :)
 
Quote from ofthomas:

if you are going to cross, you can always do IOC...
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IOC = immediate or cancel?

Thanks for tip. Never used this before. Do you use this order type. What is the benefit of using this order type?
 
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