What slippage is normal? Stats on my 4621 trades

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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:

stats

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?
 
MarkDragon:

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?

 
I see your trade execution speed is over 500ms -- this is not good. Are you sure that your ping is under 1ms?
 
ADRIAN MATUSIAK:

Hello,

 

Have You tried any VPS that is close to trading servers?

I am renting a dedicated server in NY4. This is much more efficient then renting a VPS that adds delays by using virtualiztion.
 
Anton Nel:
I see your trade execution speed is over 500ms -- this is not good. Are you sure that your ping is under 1ms?
Absolutely sure. The 500 ms you see is how long it takes the broker to process my trade; send it to LP; execute at LP and send me confirmation report. For MT4 type of brokers 500 ms is a common thing!
 

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/

FCA Reviewing 40 Firms for Best Execution Compliance, in Wake of Asymmetrical Slippage | Finance Magnates
FCA Reviewing 40 Firms for Best Execution Compliance, in Wake of Asymmetrical Slippage | Finance Magnates
  • 2014.03.11
  • Steven Hatzakis
  • www.financemagnates.com
Forex Magnates’ reporters have confirmed with a spokesperson at the UK’s Financial Conduct Authority (FCA) with regards to certain details of the thematic review of best execution that is taking place across some 40 of its member firms, following recent developments. Best execution standards help to ensure clients receive fair dealing and such...
 

Find a broker who offers FIX API, send your orders directly to their LP.

 
MarkDragon:

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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