Those trading CL size ...

F

fbirdien

Developing a Algo strategy and trying to determine the optimal order type for entry.

Trying to decide between 'Market ' or ' Limit with 1 tick' ( buy at ask, sell at bid).

Can someone trading crude CL future ( 10 to 20 lots) comment how much is the slippage in production during normal market conditions ( excluding news ) on Market orders ?

Thanks
 
For each 1-second interval of the day, average the range for that 1-second interval over 1 year, then use a fraction of that as your likely slippage for an order sent at that very second of the day.

That fraction should take into consideration:
- the overall latency of your system (datafeed + processing + orderfeed)
- the volume you intend to trade, vs the average volume for that 1-second interval
- whether your order is with or against the immediate price-movement

I have a strategy that currently only trades 1-lot (CLAlwaysIn), I use for backtesting purpose a 1-tick systematic slippage per MKT order (the backtest uses a 1-sec TF to process these orders), in real-life I have on average 1/2-tick less slippage than what the backtest shows at the end of the week (on average, 30 orders / week).
 
Thanks dom993 for the info .

I forgot to mention that strategy will run during the liquid first 60 min of US session.

Do you know someone who actually trades 10-20 CL lots in production and gets little slippage at entry/exit ?

Quote from dom993:
... in real-life I have on average 1/2-tick less slippage than what the backtest shows at the end of the week (on average, 30 orders / week). [/B]
More...
 
The biggest problem with trading size in CL is news.

Now, predetermined news like oil inventories on Wednesday we can account for, but there are a gazillion geopolitical events, aside from OPEC, that can hit the wires and poduce the nasty slippage that CL is known for, and if it catches you with size, it could be a substantial hit, considering it usually whips both ways.

Its illiquid for size and inadequate for anything past 5 cars.
 
Quote from fbirdien:

Thanks dom993 for the info .

I forgot to mention that strategy will run during the liquid first 60 min of US session.

Do you know someone who actually trades 10-20 CL lots in production and gets little slippage at entry/exit ?
More...

Well, ONCE UPON A TIME - for a one lot stop loss order, we managed to get 19 tick slippage ;) I dont even want to think what I could have taken with a 10 or 20 lot at that moment.
 
If you're just trading the spot contract, expect 1-2 cents to get 20 lots off. The front Dec contract will be similar, I would say 2-3 cents for 20 lots. Any other contracts will be 4-5 cents.

Quote from Trader.Fighter:
Now, predetermined news like oil inventories on Wednesday we can account for, but there are a gazillion geopolitical events, aside from OPEC, that can hit the wires and poduce the nasty slippage that CL is known for, and if it catches you with size, it could be a substantial hit, considering it usually whips both ways.
More...
This advice should be heeded.
 
Quote from NetTecture:

Well, ONCE UPON A TIME - for a one lot stop loss order, we managed to get 19 tick slippage ;) I dont even want to think what I could have taken with a 10 or 20 lot at that moment.
More...

My record for a 1-lot was 21 ticks and that wasn't even at a key level. As I recall, it was off the break of the resistance shelf of a small symmetrical triangle in the middle of a day's range.

I've also had 15 tick slip buying a new high with a buy stop in the first 30 seconds following The Report :eek:
 
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