GSB Forums

Slippage and market orders

alvestjo - 16-8-2018 at 01:41 AM

Hi,

This is not strictly about GSB - but related (hope it is okej to use this forum?):

I have only been running my first GSB ES strategy (using 20 min bars) live for some days but I notice the slippage i very high (TradeStation broker). It is about 0.50-0.75 index-points.

Do anyone have experience with using limit orders for entry/exit instead of market orders?

I was thining of trying:
BUY 1 contract next bar at Close LIMIT

In your experience how likly am I to get a fill?

Do you have any other suggestions how to minimize the slippage?

//Jonas

admin - 16-8-2018 at 05:42 AM

are you running in a data center? Is the slippage on entry or exit at moc?
How many trades is this over?

alvestjo - 16-8-2018 at 12:01 PM

Hi,

No, I am running TS on my PC at home (i Sweden). Does a VPS close to the exchange make a big difference?

The slippage is on exit and entry. So far it is only 4 trades over 6 days but I did not expect the slippage to be this high.

I changed the entry in my strategy to "BUY 1 contract next bar at Close LIMIT" today and that resulted in a successfull entry with 0 slippage 9:30 today.
//Jonas


admin - 16-8-2018 at 03:00 PM

Quote: Originally posted by alvestjo  
Hi,

No, I am running TS on my PC at home (i Sweden). Does a VPS close to the exchange make a big difference?

The slippage is on exit and entry. So far it is only 4 trades over 6 days but I did not expect the slippage to be this high.

I changed the entry in my strategy to "BUY 1 contract next bar at Close LIMIT" today and that resulted in a successfull entry with 0 slippage 9:30 today.
//Jonas



4 trades is not a useful figure. Exits on market close can have very high slippage, both positive and negative. ES is extremely liquid, but for almost everything else a data center is the way to go. Your latency means you are sending orders after most other people.
Problem with limits is they arent always filed, or if you have timeouts, the fill if timed out can be really bad.
I sometimes user limit oco (one cancel another) with stops, but I doubt this can be done in TS. It was custom programed for me in IBlink. ie aim for + 1 tick better fill, oco 5 tick stop.