i all!
I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.
I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.
I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.
I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:
This means on average I lose about 1.71 pips (4th decimal) on slippage each trade.
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.
When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.
At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?
Hello,
Have You tried any VPS that is close to trading servers?
Hello,
Have You tried any VPS that is close to trading servers?
I see your trade execution speed is over 500ms -- this is not good. Are you sure that your ping is under 1ms?
When you speak about the delay, I assume you mean market orders. In that case the slippage should be symmetrical, i.e. rather close to zero on average. If your statistics shows -1.5 pip on average or even more, the broker is cheating on you.
http://www.financemagnates.com/forex/regulation/fca-reviewing-40-firms-for-best-execution-compliance-in-wake-of-asymmetrical-slippage/
http://forexmagnates.com/fxcm-uk-announces-16-9-million-settlement-with-fca-for-asymmetric-slippage/
- 2014.03.11
- Steven Hatzakis
- www.financemagnates.com
Find a broker who offers FIX API, send your orders directly to their LP.
i all!
I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.
I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.
I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.
I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:
This means on average I lose about 1.71 pips (4th decimal) on slippage each trade.
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.
When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.
At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?
Very interesting analysis.
Do you have any tools to share to calculate the slippage for all of us?
It will be very helpful that everyone here measure their slippage and compare together.
We will find some interesting results I guess.
Kind regards.
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i all!
I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.
I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.
I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.
I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:
This means on average I lose about 1.71 pips (4th decimal) on slippage each trade.
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.
When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.
At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?