Slippage effects on scalping futures..

Magyar77 · Jan 3, 2020

Very very true.
Order size makes a tonne of difference

schizo · Jan 3, 2020

Magyar77 said:
Silver market
2 min chart
But in and out of market within seconds.
Now that’s on a Demo account.
While I realize it’s different from a real account, I’m curious as to how much different .
I do have trading experience in the past but not scalping experience. With this demo account of course I’m not experiencing any slippage.
When I used to trade years ago there was slippage on my intraday trading.
I wonder how profound the difference would be now on a real account as compared to a demo in today’s market.

Run a backtest with a slippage of 1 tick per trade. That should give you a pretty realistic outcome.

Handle123 · Jan 3, 2020

Magyar77 said:
I’m using generic trades platform for demo.
They apparently have the lowest latency connection to the CME globex.
I’ve used the demo account for scalping for the last 3 months and running my strategy I’m averaging 3-500 dollars a trading day.
So either these demo accounts are bs and won’t translate fully to a real account or they will.
At the very least I’m assuming that I would see some success with that strategy.

You might be horrible surprised, Ninjatrader a bit better as sim is done on per 1/100th second fills or they use to be. Silver is funny market to scalp, MIT's I would never do, it is like 2 tick slippage. And if you need speed, https://www.speedytradingservers.com/ way to go, I have seen way too many have automation and done them on demo's with very impressive returns and lose their rumps in real time even with Speedy Trader, but it does help to be closer to exchanges. Silver to me is a market where monitoring volume every bar comes first, first 2 hours is ok, thereafter is dicey on exits.

Overnight · Jan 3, 2020

Magyar77 said:
Perhaps I’ll run the strategy Ninja trader to compare

Running a sim strat can never replicate your results on live money.. The sim engine can only approximate it. Ninja actually does quite a good job. It does it so well, that I have sometimes wondered if the live actually gave me better fills than sim on occasion.

With that said, I dunno' what kind of strat you are running where you must use MIT. But then again, I do not trade silver so do not know what the spreads are like. So sure, if you have a spread wider than 1 tick in your instrument, of COURSE you will have "slippage" with the MIT order type.

But if you use a limit order for take profit on a liquid instrument that ALSO had a kinda' wide spread (>1-2 ticks)? Take a gander at RB or HO. Try your testing on that "thinner" market which has great ranging.

Magyar77 · Jan 3, 2020

Silver only moves one tick at times in the demo. And it pauses , it’s not wildly up and down like S&P for example .
It’s during that pause that I take profit .
Generally just one tick repeated over and over. I’ll try the other sims mentioned to to compare .

Overnight · Jan 3, 2020

Magyar77 said:
Silver only moves one tick at times in the demo. And it pauses , it’s not wildly up and down like S&P for example .
It’s during that pause that I take profit .
Generally just one tick repeated over and over. I’ll try the other sims mentioned to to compare .

You do that, and get back to us. Because Silver is a bad market to start with, IMHO.

You always start with the liquid ones, and go down from there. (Trust me, try it on RB and HO if you want price action. Tick value is way smaller, but the movement is there. Big-time yeah.)

Magyar77 · Jan 3, 2020

Handle123 said:
You might be horrible surprised, Ninjatrader a bit better as sim is done on per 1/100th second fills or they use to be. Silver is funny market to scalp, MIT's I would never do, it is like 2 tick slippage. And if you need speed, https://www.speedytradingservers.com/ way to go, I have seen way too many have automation and done them on demo's with very impressive returns and lose their rumps in real time even with Speedy Trader, but it does help to be closer to exchanges. Silver to me is a market where monitoring volume every bar comes first, first 2 hours is ok, thereafter is dicey on exits.

Perhaps I’ll use a VPS if speed is the issue.
If I can generate half of those returns for real compared with the demo it would be good.

Magyar77 · Jan 3, 2020

Overnight said:
You do that, and get back to us. Because Silver is a bad market to start with, IMHO.

You always start with the liquid ones, and go down from there. (Trust me, try it on RB and HO if you want price action. Tick value is way smaller, but the movement is there. Big-time yeah.)

Magyar77 · Jan 3, 2020

Handle123 said:
You might be horrible surprised, Ninjatrader a bit better as sim is done on per 1/100th second fills or they use to be. Silver is funny market to scalp, MIT's I would never do, it is like 2 tick slippage. And if you need speed, https://www.speedytradingservers.com/ way to go, I have seen way too many have automation and done them on demo's with very impressive returns and lose their rumps in real time even with Speedy Trader, but it does help to be closer to exchanges. Silver to me is a market where monitoring volume every bar comes first, first 2 hours is ok, thereafter is dicey on exits.

That speedy trader seems legit.
Very close proximity to CME.

Magyar77 · Jan 7, 2020

schizo said:
Run a backtest with a slippage of 1 tick per trade. That should give you a pretty realistic outcome.

You have any experience with TT?
Do you think it would make a difference when scalping?
I’m trying to switch to a broker with TT so I can reduce the slippage I experience scalping currently.
But is it worth it?
It would work out to $400 a month just for TT platform plus FCM.