Slippage with different brokers

[Dhalsim]

Try consulting with the tech support at TradeStation - They have a low latency/ high performance network for institutional & HFT - colo at the exchange via FM360 & Bloomberg.

I use 'fill or kill' which are priority - don't want to be sitting in the LOB (limit order book) - sitting duck for HFTs that prey on these passive orders. Not trading the size you are, although I could intra-day but not overnight. So you will have do your own research on that - just an idea.

Thanks.

I am certainly looking at many different options right now and will contact Tradestation accordingly. The kill or fill sounds good as you are certainly right that our orders are a sitting duck.

 

[Gotcha]

Read the post it says i have some very large investors and collectively the system is trading well over 200 contracts (close to 300 right now).

I don't want to be a dick, but if I was an investor, and I knew that you didn't actually know why your fills aren't what you think they would be, and if I knew you were asking if the system should be going for a market order 2 seconds after not getting filled or 10 seconds, I would be concerned.

I cannot imagine how someone goes from trading 1 contract, to 2, then maybe 3, then 5, then 10, then 20, etc, and not have come across these issues. To know that your system has the capability of being profitable with a rule such as buying at market 10 seconds later if not filled to me says that a lot of backtesting has gone into this, and I would once again assume that this backtesting would have taken into account how trades get filled.

I have never had to worry about things like slippage on limit orders when designing my systems as we are already trading very liquid futures markets and at most getting 1 tick slippage here and there.

With limit orders, you are clearly not getting slippage since you either get filled at your price or you don't. And if you move to market orders, well, clearly anything can happen there. Once again, why don't you just buy the ask in cases where you see your limit order not fill? This should fill instantly, and if price has moved away again in that the ask is now no longer the ask but the bid, or price is even 2 ticks away, well, you're back to your original problem of slippage anyway. I would imagine that you could easily code something like "if bid doesn't fill in 2 seconds, buy the ask".

Please lets stop acting like nobody in ET knows anything as this has been a good learning resource for me in the past.

My apologies, but once again, I'm still shocked for you to be where you are and need to ask for help with slippage.

 

[Dhalsim]

I don't want to be a dick, but if I was an investor, and I knew that you didn't actually know why your fills aren't what you think they would be, and if I knew you were asking if the system should be going for a market order 2 seconds after not getting filled or 10 seconds, I would be concerned.

I cannot imagine how someone goes from trading 1 contract, to 2, then maybe 3, then 5, then 10, then 20, etc, and not have come across these issues. To know that your system has the capability of being profitable with a rule such as buying at market 10 seconds later if not filled to me says that a lot of backtesting has gone into this, and I would once again assume that this backtesting would have taken into account how trades get filled.



With limit orders, you are clearly not getting slippage since you either get filled at your price or you don't. And if you move to market orders, well, clearly anything can happen there. Once again, why don't you just buy the ask in cases where you see your limit order not fill? This should fill instantly, and if price has moved away again in that the ask is now no longer the ask but the bid, or price is even 2 ticks away, well, you're back to your original problem of slippage anyway. I would imagine that you could easily code something like "if bid doesn't fill in 2 seconds, buy the ask".


My apologies, but once again, I'm still shocked for you to be where you are and need to ask for help with slippage.

Well you can remain shocked all you want, i can bet you that my performance for 2016 was a lot better than yours, please show me any live redacted statement of your against mine and we see how shocked you will be. Always have that one ET know it all who pretends he is greater than everyone and everybody should know everything straight away - like there is no learning curve. Moreover, we did shift in contract size dramatically as a large investor was just in testing mode the first 3 months and then upped is his contract size considerably.

I have mentioned my skill and focus has only been around designing strong systems and that is pretty much all i focus on. I find too many people begin to worry about platforms and custom solutions before they even have a good system in the first place. Hence, i test the waters before jumping in. I did not expect to get this big this quick so i have new challenges in place (not necessarily a bad thing).

In the first place my systems were not designed around quick entries and exits as i always knew we will never have an advantage with execution. I always designed systems where we should not worry about 1-2 tick slippage too much for overall strong performance and this is still within a daytrading setting. I have zero systems which are in and out of trade within a minute or with 3 tick-10 tick stops.

I have a very high profit factor even considering the slippage but obviously my concern is with deteriorating performance and scalability.

Also, i am already converting limit orders to a market order if we don't get a complete fill - i mentioned this many times. Like i said we tested this on a 10 seconds rule with 50 contracts and performance was superior to hitting the ask should we not get a full fill. This has now been changed to convert to hitting the ask as soon as we see only a partial fill.