ETX Spreads slippage

[China Diapers]

"high-frequency traders make an average profit of as much as $5.05 each time they go up against small traders buying and selling one of the most widely used financial contracts

Do you think its that much of a problem on FTSE 100 stocks?

 

[China Diapers]

"high-frequency traders make an average profit of as much as $5.05 each time they go up against small traders buying and selling one of the most widely used financial contracts."


http://www.nytimes.com/2012/12/04/business/high-speed-trades-hurt-investors-a-study-says.html?_r=0

:whistling

Forgot to add, dirty *******s

 

[pboyles]

Really where ?

On one of the other threads, they were asked directly and sai yes they use it. One of the mods (maybe Barjon or Timsk) was saying they were a bit disappointed to hear that. ETX were trying to say there were genuine reasons to use it.

Of course it could all have been deleted by now.

 

[malaguti]

I did a bit of calculation - one example is more than 13%. Is that too much?

How do you work that out then Zen
So I set a buy order for FTSE at 6000 say. You're saying that you may not get filled until 6780? I find that a little hard to believe..

 

[Splitlink]

I do watch the difference in slippage my dealings-I use SB. I think that there is something going on, but can't put my finger on it and it does not seem to be a problem. My orders seem to be best, manual trading involves a wait, either the trade is filled at my price---TBH, right on the button in most cases---probably because I am not a momentum trader--- or it is cancelled after a certain time--2-3 minutes, if I remember correctly.

http://www.futuresmag.com/?ref=nav

This site may shed more light on the subject for those who want to dig a bit deeper.

 

[China Diapers]

I do watch the difference in slippage my dealings-I use SB. I think that there is something going on, but can't put my finger on it and it does not seem to be a problem. My orders seem to be best, manual trading involves a wait, either the trade is filled at my price---TBH, right on the button in most cases---probably because I am not a momentum trader--- or it is cancelled after a certain time--2-3 minutes, if I remember correctly.

I am never filled at my price on either side, who are you with?

 

[China Diapers]

How do you work that out then Zen
So I set a buy order for FTSE at 6000 say. You're saying that you may not get filled until 6780? I find that a little hard to believe..

Thats a good point, I added the slippage on both sides together as a percentage of my risk, which is quite arbitrary I guess.

 

[Splitlink]

I am never filled at my price on either side, who are you with?

Finspreads. If you are interested I can tell you the differences when I make the trades. I don't, usually, log slippage differences, so can't give you historical stuff, but my orders don't seem to be more than a fraction of a point difference.

I remember last week, when Euro$ dropped, (Friday?) taking me a bit by surprise and thinking that it might be a spike, I manually closed and it was immediate, netting me 60 points in an hour I am sure that if anything was going on, it would have shown up there.

 

[China Diapers]

Finspreads. If you are interested I can tell you the differences when I make the trades. I don't, usually, log slippage differences, so can't give you historical stuff, but my orders don't seem to be more than a fraction of a point difference.

I remember last week, when Euro$ dropped, (Friday?) taking me a bit by surprise and thinking that it might be a spike, I manually closed and it was immediate, netting me 60 points. I am sure that if anything was going on, it would have shown up there.

That's OK no need to trouble yourself, reckon I will just stay put for the moment

 

[Splitlink]

That's OK no need to trouble yourself, reckon I will just stay put for the moment

That's ok, it's nice having a chat instead of being in a thread and fighting to prove points all the time.

Until next time.

 

[China Diapers]

That's ok, it's nice having a chat instead of being in a thread and fighting to prove points all the time.

Until next time.

 

[Splitlink]

BTW, I am small fry, averaging 5 and rarely going to 10 GBP per point. which is why I use SB. That might make a difference. The bigger fish might attract more attention.

 

[China Diapers]

BTW, I am small fry, averaging 5 and rarely going to 10 GBP per point. which is why I use SB. That might make a difference. The bigger fish might attract more attention.

I am a tadpole.

I am not insinuating the SB's are out to get me or anything like, but a bit of slippage seems to go with the territory, I would just rather minimise it if possible.

 

[ZEN archer]

How do you work that out then Zen
So I set a buy order for FTSE at 6000 say. You're saying that you may not get filled until 6780? I find that a little hard to believe..

For every trade I use a stop. I use distance from the entry level to the stop to calculate the amount I am willing to risk per trade.

Let's say if my stop get hit, I'll lose £100. Then price goes to my stop level, but my broker doesn't close my trade at my stop level and let it run into a bigger loss. They eventually close it, but my real loss is now £113 instead of planned £100. That is 13% more than what I was ready to pay for that failed trade. If I risked £1,000 with 13% extra that would be £1,130 etc.

PS It's easy to find out - just check your stop order level and the level it was executed at. If it's worse - you have a slippage

Well if you find that a little hard to believe, you may have a problem

 

[barjon]

For every trade I use a stop. I use distance from the entry level to the stop to calculate the amount I am willing to risk per trade.

Let's say if my stop get hit, I'll lose £100. Then price goes to my stop level, but my broker doesn't close my trade at my stop level and let it run into a bigger loss. They eventually close it, but my real loss is now £113 instead of planned £100. That is 13% more than what I was ready to pay for that failed trade. If I risked £1,000 with 13% extra that would be £1,130 etc.

PS It's easy to find out - just check your stop order level and the level it was executed at. If it's worse - you have a slippage

Well if you find that a little hard to believe, you may have a problem

Can happen when market gaps (particulary overnight) but works both ways (positive slippage) and it's generally the underlying and not your broker trying to screw you.

In your example if they have failed to close at the level you ordered for no good reason then they should correct it. Again, in your example, if someone had a stop order in at 100 and it was filled at 113 whilst, at the same time, someone had a limit order in at 100 and was filled at 100, then there's dodgy dealing going on.

 

[malaguti]

For every trade I use a stop. I use distance from the entry level to the stop to calculate the amount I am willing to risk per trade.

Let's say if my stop get hit, I'll lose £100. Then price goes to my stop level, but my broker doesn't close my trade at my stop level and let it run into a bigger loss. They eventually close it, but my real loss is now £113 instead of planned £100. That is 13% more than what I was ready to pay for that failed trade. If I risked £1,000 with 13% extra that would be £1,130 etc.

PS It's easy to find out - just check your stop order level and the level it was executed at. If it's worse - you have a slippage

Well if you find that a little hard to believe, you may have a problem

I can understand your calculation Zen, that bit is easy to understand. Our use of the base of the percentage is the key and this differs, nothing else to it. if you were filled the other way, would you then consider yourself 13% up?
My slippage, is based on the percentage of the price. if I buy lloyds at 50p and it goes up to 56.5 then I am 13% up.
No offence intended mate

 

[ZEN archer]

Can happen when market gaps (particulary overnight) but works both ways (positive slippage) and it's generally the underlying and not your broker trying to screw you.

In your example if they have failed to close at the level you ordered for no good reason then they should correct it. Again, in your example, if someone had a stop order in at 100 and it was filled at 113 whilst, at the same time, someone had a limit order in at 100 and was filled at 100, then there's dodgy dealing going on.

No offence, but you sound a bit like them Barjon

I experienced the slippage during normal hours. They also use similar explanation - works both ways etc. etc. By some strange coincidence I experience that positive slippage very rarely if ever.

Honestly I don't feel like posting any more about this. It's only that I have all the order and execution levels recorded and the slippage is so obvious and then I read all this about no slippage posts.

Anyway I don't want to complain any more - have a nice weekend

 

[ZEN archer]

I can understand your calculation Zen, that bit is easy to understand. Our use of the base of the percentage is the key and this differs, nothing else to it. if you were filled the other way, would you then consider yourself 13% up?
My slippage, is based on the percentage of the price. if I buy lloyds at 50p and it goes up to 56.5 then I am 13% up.
No offence intended mate

No offence taken Malaguti

I hope I explained my understanding of slippage properly - have a nice weekend

 

[Splitlink]

For every trade I use a stop. I use distance from the entry level to the stop to calculate the amount I am willing to risk per trade.

Let's say if my stop get hit, I'll lose £100. Then price goes to my stop level, but my broker doesn't close my trade at my stop level and let it run into a bigger loss. They eventually close it, but my real loss is now £113 instead of planned £100. That is 13% more than what I was ready to pay for that failed trade. If I risked £1,000 with 13% extra that would be £1,130 etc.

PS It's easy to find out - just check your stop order level and the level it was executed at. If it's worse - you have a slippage

Well if you find that a little hard to believe, you may have a problem

You might find it hard to believe, but that does not happen to me, like that. Now, that there is a chance that they may "adjust" the price to get me in or out before it happens is, I suppose, possible, but I do not think so and I have not had to phone mine up over that sort of complaint in the 20 odd years I have used them.

I cannot say that about IG, who I have rung on more than one occasion., in the days of telephone trading and minimum of 10 GBP/point. Overnight trading was, particularly, dangerous and I gave that up immediately.

I do believe that competition has improved matters a lot over the years since then but it is best to be watchful and realise that these people are not angels. Neither are we, all, angels, either, and they would br out of business very quickly if they took us to be.

 

[ZEN archer]

You might find it hard to believe, but that does not happen to me, like that. Now, that there is a chance that they may "adjust" the price to get me in or out before it happens is, I suppose, possible, but I do not think so and I have not had to phone mine up over that sort of complaint in the 20 odd years I have used them.

I cannot say that about IG, who I have rung on more than one occasion., in the days of telephone trading and minimum of 10 GBP/point. Overnight trading was, particularly, dangerous and I gave that up immediately.

I do believe that competition has improved matters a lot over the years since then but it is best to be watchful and realise that these people are not angels. Neither are we, all, angels, either and they would br out of business very quickly if they took us to be.

I believe you Split - lucky you

Have a nice weekend