NexusFi: Find Your Edge


Home Menu

 





What is your avg slippage?


Discussion in Commodities

Updated
      Top Posters
    1. looks_one xplorer with 3 posts (2 thanks)
    2. looks_two tpredictor with 2 posts (0 thanks)
    3. looks_3 matthew28 with 2 posts (2 thanks)
    4. looks_4 Scalpguy with 2 posts (0 thanks)
      Best Posters
    1. looks_one matthew28 with 1 thanks per post
    2. looks_two kevinkdog with 1 thanks per post
    3. looks_3 myrrdin with 1 thanks per post
    4. looks_4 xplorer with 0.7 thanks per post
    1. trending_up 6,141 views
    2. thumb_up 7 thanks given
    3. group 8 followers
    1. forum 16 posts
    2. attach_file 0 attachments




 
Search this Thread

What is your avg slippage?

  #11 (permalink)
 Odds Dumpeertje 
Uppsala, Sweden
 
Experience: Beginner
Platform: Sierra
Broker: AMP
Trading: ES
Posts: 10 since Apr 2018
Thanks Given: 7
Thanks Received: 9


matthew28 View Post
for stop loss market orders it makes no difference how long the order was sat there.

Is this really true for exchange hosted stops? When they sweep multiple levels out of the book there would have to be some ordering even if they execute simultaneously

Sent using the NexusFi mobile app

Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
Increase in trading performance by 75%
The Elite Circle
Pivot Indicator like the old SwingTemp by Big Mike
NinjaTrader
MC PL editor upgrade
MultiCharts
Better Renko Gaps
The Elite Circle
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Just another trading journal: PA, Wyckoff & Trends
27 thanks
Tao te Trade: way of the WLD
24 thanks
Diary of a simple price action trader
22 thanks
My NQ Trading Journal
14 thanks
GFIs1 1 DAX trade per day journal
9 thanks
  #12 (permalink)
 Arch 
W.Coast, USA.
 
Experience: Intermediate
Platform: Anything
Trading: Emini
Posts: 347 since Jul 2017
Thanks Given: 106
Thanks Received: 381


warriortrader007 View Post
Hi, guys!

I had 1-5 ticks slippage on the CL futures on the IB account (I'm using TWS with IB now) last couple of months.
I suppose it's not the good situation...
I'm not scalper. My stops are 20+ ticks.
I had the slippage of 14 ticks once (after the Trump's tweet, late night), by the way. It's record by now.

What typical slippages do you have on your favourite trading instruments?


when did you have the 14 tick slippage?

Reply With Quote
  #13 (permalink)
 tpredictor 
North Carolina
 
Experience: Beginner
Platform: NinjaTrader, Tradestation
Trading: es
Posts: 644 since Nov 2011


I suggest you look at the program settings in TWS. Again, I have seen this extreme slippage in other markets and I believed it was due to the way that TWS uses broker held vs exchange stops. You may have to change it to "stop limit orders"/stop with protection because I think CME doesn't support the "stop loss market order".

I suggest you also provide logs as recommended from others here. So they can evaluate if the slippage might be reasonable.

Reply With Quote
  #14 (permalink)
 
matthew28's Avatar
 matthew28 
United Kingdom
 
Experience: Beginner
Platform: Bookmap
Broker: Stage 5, Rithmic
Trading: US Equity Index Futures
Posts: 1,250 since Sep 2013
Thanks Given: 3,500
Thanks Received: 2,532


Odds Dumpeertje View Post
Is this really true for exchange hosted stops? When they sweep multiple levels out of the book there would have to be some ordering even if they execute simultaneously

Sent using the NexusFi mobile app

Hmm. Yes you must be right. I was thinking when a price is touched then all the stops get set off but like you say but there still has to be an order to that. Thanks. I have edited my post.

You do not win as a trader, you just get to play again the next day. If that game doesnít appeal to you then you should not trade. Gary Norden
Reply With Quote
Thanked by:
  #15 (permalink)
 
Scalpguy's Avatar
 Scalpguy 
Helsinki, Finland
 
Experience: Advanced
Platform: SC and TWS
Broker: IB and AMP/CQG
Trading: ES, CL
Posts: 206 since Jul 2010
Thanks Given: 17
Thanks Received: 166

Any NQ traders who can tell me her/his biggest slippage ever experienced in the stop limit orders (stop loss) ?
If not then any other CME/Globex FIFO only instrument (but not ES) is ok too.

It takes nothing to be a Pig
Reply With Quote
  #16 (permalink)
 
numberjuani's Avatar
 numberjuani 
Agoura Hills, CA USA
 
Experience: Advanced
Platform: Tradestation&Multicharts
Broker: TradeStation
Trading: Futures & Equities
Posts: 128 since Apr 2019
Thanks Given: 9
Thanks Received: 102

Stop limit orders donít have slippage, theyíre a limit order. Having said that The NQ is super sloppy and Iíve been moved up to $50 away from where I clicked on one contract when entering with a market order, which is the same as a stop loss, so yeah use limit orders the whole time or calculate at least 50 bucks will go to your high frequency friends at the CME


Sent using the NexusFi mobile app

Reply With Quote
  #17 (permalink)
 
Scalpguy's Avatar
 Scalpguy 
Helsinki, Finland
 
Experience: Advanced
Platform: SC and TWS
Broker: IB and AMP/CQG
Trading: ES, CL
Posts: 206 since Jul 2010
Thanks Given: 17
Thanks Received: 166


numberjuani View Post
Stop limit orders donít have slippage, theyíre a limit order. Having said that The NQ is super sloppy and Iíve been moved up to $50 away from where I clicked on one contract when entering with a market order, which is the same as a stop loss, so yeah use limit orders the whole time or calculate at least 50 bucks will go to your high frequency friends at the CME
Sent using the NexusFi mobile app

No. Stop Limit order is a native order type and fully supported. When the stop price is traded the order will be matched and if not filled fully the partial amount will be left as a limit oder.

Obviously I am talking about a slippage from the stop price and orders used for stop loss so it's a wide set up.

Just tell me the slippage between the stop price and the execution average/prices.

It takes nothing to be a Pig
Reply With Quote




Last Updated on November 20, 2019


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts