Sssslippage and commission$

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easymon1

Total Noob Question

Purpose: To get a feel for slippage and commissions, and Not that I'm going to do this, but . . .

If an experimenter executed 10 round turn BTC/ USD day trades just to get a feel for slippage and commissions what result could be expected? Buy a bitcoin, wait 5 min, sell a bitcoin, wait 5 min repeat, ten times.

for comparison, if trader did the above for nq futures between 10 and 11 am using Limit Orders with no market moving news and so forth, the likelyhood of execution and the expense of slippage and commissions are predictable and likely to fall into a tight range.

How about for BTC/ USD under conditions similar to the example above and to keep it simple, assume long trades only, no shorts?

What Broker(s) and front ends work well?

Anybody with first hand experience, your feedback would be great.

What questions am I not asking?

Thanks


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Well if using limit orders slippage isn’t an issue. Commissions should be known ahead so theirs nothing to assume.

If your trying to calculate the difference between a backtest and live executions it gets tricky. Depends on the frequency of data and frequency of trades and is hard to hard calculate.
 
Not sure if you care - most TCA looks at the market going out after your fill. We've been in products where you get slippage post fill. Especially in fragmented markets.
 
It's Stop Losses that slip and you have to worry about, hold YM for instance over a major news release or unexpected Trumpy tweet, if your SL is 10pts away and the market goes 100pts in a blink of an eye, odds are your going to take a 50-90pt slip, ie your 2% loss max becomes 20%.

Don't hold over news obviously to expose yourself to this, but not much you can do about random Trumpy tweets sadly.
 
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