Hot answers tagged slippage
Slippage is multi-facetted, however, I think the main element to slippage is going to depend on the sophistication of your execution approach. Also, in your case there are 2 types of slippage: execution slippage (i.e. cost above mid to get your fill) tracking slippage (how much price difference between actual close and your fill price) Execution ...
It depends almost entirely on the size of the positions the fund is trading. More specifically, it is a function of the liquidity of the stock. ex-post liquidity can be observed from volume in aggregate and time & sales, in particular. ex-ante liquidity can be estimated (often reasonably well using a bucketed look-back approach) It also depends on ...
The slippage is going to largely depend on the benchmark used and vary wildly depending on what kind of order working is being done (all day vwaps, pair orders working for a few minutes at a time) Given that in my experience I've seen strategies that turn over infrequently with long running volume driven orders (hours, pov/vwap) using vwap as benchmark give ...
I can chime in with some figures and what it means for slippage to be significant. First, some figures, as discussed by Zoltan Eisler form CFM. CFM refers to some of its strategies as "slow alpha". These models make directional (~0.1%) predictions over horizons from 1/2 to few hours. According to these parameters, their US long-short equity fund has a ...
You can use MOC (Market on Close) orders to realize the closing price on NYSE or NASDAQ. The price you get will be the official close. You should check to see whether the free data you are getting contains the consolidated (last price across all venues) or primary (last price on the primary listing exchange for the stock) for its closing prices. If it ...
You're playing against people who would take the opportunities you're going for in microseconds or milliseconds. What kind of latency are you getting with TradeStation? You need to do two things: measure this latency. get tick by tick data and do a real backtest. Probably your opportunities are gone in 10 milliseconds so you need to do this.
I know it's not what you want to hear, but the smaller the time-frame the more limit orders should be focused on (which can change the design of a strategy entirely). Due to the nature of the futures markets, having a gap in liquidity can obviously cause discrepancies with market orders, but can guarantee some nature of being filled using limits.
Given that you're tradeing low volumes ($<1\%$ of volume, I take), I would not assume more than 1 bps slippage in your case.
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