that's just saying they submit marketable limit orders instead of market orders which is entirely appropriate, but it doesn't speak to the speed in which they send the orders or what the exact logic is. It's a very fragmented market so they can't really just submit a single order and expect best execution. Robert Morse is correct, if you're trading illiquid names with wide spreads then expect some serious slippage.
Trying to understand slippage: 1.6% with Interactive Brokers.
- Thread starter mickael28
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that's just saying they submit marketable limit orders instead of market orders which is entirely appropriate, but it doesn't speak to the speed in which they send the orders or what the exact logic is. It's a very fragmented market so they can't really just submit a single order and expect best execution. Robert Morse is correct, if you're trading illiquid names with wide spreads then expect some serious slippage.
This has happened with much larger stocks and plenty of liquidity, hence that I think it's something else. Either which I'm not doing correctly or that IB is handling in a way which I don't fully understand. Eg:
* AVGO, ~66B market cap, 3M daily volume => slippage 2.72%
* JD, 139B market cap, 15M daily vol=> slippage 1.3%
* BOX, 4B market cap, 5M daily vol => slippage 1.1%
* a few others around 1%
* EEFT, 6B market cap, 600K daily vol => slippages 4.5%, 6%
* a few others in the 1.5-2% range (QNST, MTLS, BOX, ...)
Or a mixed of factors that create these situations much more often that I had anticipated.
When I was reading about slippages, I could see people talking about the odd 0.xx% but not talking about full percentages as often, some of them are as high as the stop loss in the first place, which results in having taking losses which are double than expected. And the other extra percentages which go with the slippages, as I've started trading more often now, they're starting to add up...
* AVGO, ~66B market cap, 3M daily volume => slippage 2.72%
* JD, 139B market cap, 15M daily vol=> slippage 1.3%
* BOX, 4B market cap, 5M daily vol => slippage 1.1%
* a few others around 1%
* EEFT, 6B market cap, 600K daily vol => slippages 4.5%, 6%
* a few others in the 1.5-2% range (QNST, MTLS, BOX, ...)
Or a mixed of factors that create these situations much more often that I had anticipated.
When I was reading about slippages, I could see people talking about the odd 0.xx% but not talking about full percentages as often, some of them are as high as the stop loss in the first place, which results in having taking losses which are double than expected. And the other extra percentages which go with the slippages, as I've started trading more often now, they're starting to add up...
Robert Morse
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In this example, "AVGO, ~66B market cap, 3M daily volume => slippage 2.72%" AVGO closed at 274.06. Are you saying that you had a sell stop order during market hours and after the stop was hit, you sold stock 2.72% lower or 7.45 points?
ok but even if some bids will get attention they won't get hit because they are below your limit price so what's the point? When you are closing a position, the whole idea of a stop order whether it's stop market or stop limit order is to get filled as quickly as you can when the market is moving against you. With limit order, you are a bit more patient and absolutely want the order to be filled at the limit price but if you are willing to get the position close out at $9.00, why don't you send out a stop market order at $9.00 right in the first place? So at $10.00, your position would still be open. Because with a stop limit order of $10.00, your position would still be open, so why waste a trigger? If you are going to send out a limit order, then you should stick firm to your limit price otherwise the limit order won't be effective. If you want to get out fast and can't really afford to see the price deteriorating further, then better just to get out fast and fight another day.
Like I said, you either get the price or the time but not both. With the OCO, at the end it's still the price caves.
Correct, I'm not saying you are wrong. I don't know what is best for every strategy, I'm just providing an alternative way of looking at things. For thin stocks with large spreads games can be played just by moving bid/ask around or pinging with 100 shares to see what happens. So all I'm saying is give some thought to to what it means for price to really "break" your stop. May be you shouldn't stay in a trade where you are the weak hands. Just food for thought.
This was back in 2016 when I was starting, end of June. I had a stop at 8% but the sell price was 10.72% below. Checking the chart now I think ~1% might have been due to a gap down but the other 1.72% seems to have been slippage.
I'm mainly trying to understand these slippages more as I was thinking that if my stop price was triggered the broker would send my order to the market as a market order and I would be out of the position, but like in the last case with QNST, it seems IB (and not sure others) didn't work exactly like that.
The morning fills after gap downs can have a lot of slippage. Most seasoned swing traders remove their stop loss and wait for the print of the first hour, unless price is rapidly making new lows on increasing volume, which was not the case here.
Learn how to trade around the morning gaps. Traders can pick off the stop losses - this is where skilled traders have a distinct advantage/edge. Those holding positions can get often get out at a far better price.
day low prints 47 minutes into the day
stop is placed below the 1st hour low & exit is taken at gap close
this would have gotten you out at $18.81
QNST 2-7 (15 minute bars) common gap down - often the gap is closed
Learn how to trade around the morning gaps. Traders can pick off the stop losses - this is where skilled traders have a distinct advantage/edge. Those holding positions can get often get out at a far better price.
day low prints 47 minutes into the day
stop is placed below the 1st hour low & exit is taken at gap close
this would have gotten you out at $18.81
QNST 2-7 (15 minute bars) common gap down - often the gap is closed
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With 20-20 hindsight looks like you did fine with a semi liquid/good trender. 52 week volume averages of 280,000-5 million;+ its nearing $13.13 area today.
Wide bid/ask ;$18.50/18.30. But still seems OK for a good trender; 1+% spread, so your exit seems ok;
see what happens if you had missed your stop??Do you know a good resource, book, article about this area by any chance?
I'm working full time so that I cannot fully check the stock market at the open, etc... but even if I could, sometimes I've got ~10 stocks and 2 or 3 positions in each, so I would have to somehow monitor, track and adjust around 20-30 stops each day, which I think I wouldn't be able to do at present.
The preset Stop losses was the best solution I could find at the moment, but these frequent slippages are a concern mainly because I've not fully understand why they happen when sometimes it seems there's enough buyers. Quite a few times I've been sold out at the lowest price (to the penny) before the stocks reversed, but I've never seen a good filling hence that I was wondering if IB executions are not the greatest or if I'm not doing something from my end that prevents IB to send those sell orders quicker...