Slippage in Market Execution Mode - page 2

[antony23]

Alain Verleyen #:

Checking spread or time is only an indirect solution, you could still have slippage. The only solution that actually allow you to control slippage is limit orders as I already said.

Why using limit orders solve the slippage problem? because it is on the trade server already or because with limit orders i could get a "positive" slippage instead (reducing SL distance at worst case, instead to increase it) ? Yes, if it the case, the order could not be tiggered, i understood.

[Alain Verleyen]

antony23 #:
Why using limit orders solve the slippage problem? because it is on the trade server already or because with limit orders i could get a "positive" slippage instead (reducing SL distance at worst case, instead to increase it) ? Yes, if it the case, the order could not be tiggered, i understood.

Please read about limit orders.

[Ryan L Johnson]

antony23 #:
Do you think checking spread (which checks? on x points?) could help avoid the big slippages? It could help during news? Or it would be better coding a filter time for news?

I think of those filters as different degrees of indirect slippage avoidance.

In my experience, when I disabled trading during times of high spreads, those times inherently fell on or around the times of the daily close/open and news events. This, in turn, led me to "cut to the chase" by defining the times of the daily close/open and news events without referencing spread. This is a 2nd degree of indirect slippage avoidance, if you will. I see no benefit in risking that a low spread will randomly appear in a sea of high spreads--creating a "false signal."

I didn't discuss limit orders because the title of this thread is "Slippage in Market Execution Mode" and limit orders are hence, outside the scope of it.

[antony23]

Alain Verleyen #:
Please read about limit orders.

Sorry Alain, i'm looking for in the documentation, but cannot find apparently anything relevant, surely i'm missing somethig. Can you please link me something for reading?

EDIT: i found something.

Book reference write: 
"In exchange execution mode, the price specified when placing limit orders is not checked. It can be specified above the current Ask price (for buy orders) and below the Bid price (for sell orders). When placing an order with such a price, it almost immediately gets triggered and turns into a market one."

But in market execution mode, afaik it is not possible putting a buy limit order above current ask price. Isn't it so? Also, freeze levels are checked at limit orders placing or they are only checked for limit order modification?

[Alain Verleyen]

antony23 #:

Sorry Alain, i'm looking for in the documentation, but cannot find apparently anything relevant, surely i'm missing somethig. Can you please link me something for reading?

EDIT: i found something.

Book reference write: 
"In exchange execution mode, the price specified when placing limit orders is not checked. It can be specified above the current Ask price (for buy orders) and below the Bid price (for sell orders). When placing an order with such a price, it almost immediately gets triggered and turns into a market one."

But in market execution mode, afaik it is not possible putting a buy limit order above current ask price. Isn't it so?

Yes. You can also check stop-limit orders if you like.

Also, freeze levels are checked at limit orders placing or they are only checked for limit order modification?

In both cases, the order openprice must be at a "freezelevel" distance of the current market price.

[antony23]

Alain Verleyen #:
Yes. You can also check stop-limit orders if you like. In both cases, the order openprice must be at a "freezelevel" distance of the current market price.

So, supposing i would try limit orders, and try to place them at the current price (having freeze level=0), i have to try putting limit order on current prices (ask for buy limit and bid for sell limit) until i get return code 10008 - TRADE_RETCODE_PLACED? 

How much time i would try is at my discrection (strategy logic), of course, but why you wrote in prevous post that the order could not be triggered? If paradoxically I try endlessly, sooner or later the order will be accepted, or not?

Anyway, i read that limit order have to be placed by broker at that price or better price, but this assumption is always true or it is broker or market/instrument dependant? Why limit order have this special treath than others?

[Alain Verleyen]

You can read this great article, it will certainly answer a lot of your questions about limit orders.

Though, as you already noted, what is applicable depend of the considered market. On Forex, as you already noted, the possibilities are more limited.

[antony23]

Alain Verleyen #:

You can read this great article, it will certainly answer a lot of your questions about limit orders.

Though, as you already noted, what is applicable depend of the considered market. On Forex, as you already noted, the possibilities are more limited.

I just found it before your answer, and was reading it. 

Really great article, but unfortunately it applies to exchange execution mode. Anyway, i think using limit order for entry could be a good idea also in forex market, but for stop loss order we can't use them. In effect i was worry about worst open price, but we have no guarantee that even stop loss will be respected. Is there really no way to protect ourselves from stop loss slippage and spikes?

[Alain Verleyen]

antony23 #:

I just found it before your answer, and was reading it. 

Really great article, but unfortunately it applies to exchange execution mode. Anyway, i think using limit order for entry could be a good idea also in forex market, but for stop loss order we can't use them. In effect i was worry about worst open price, but we have no guarantee that even stop loss will be respected. Is there really no way to protect ourselves from stop loss slippage and spikes?

That's an other story. It's effectively a challenging issue.