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How to get any spread and slippage reduction for high frequency trading?

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Young Ho Seo
15813
Young Ho Seo 2016.02.12 13:01 

Hello Traders.

Later I got me thinking a lot of the topics of spread and slippage issues with brokers. As we all know, spread is the broker's commission. More you pay for the spread, you will be left with less profits. Spread is one of trader's enemy but we can't really avoid.

On the other side, if we receive unwanted price at our order execution, it is also undesirable thing for your trading. This is called slippage. Again when this happen seriously, we will encounter more loss than profits.


I am not here talking about any particular brokers here. But I want to discuss general strategy to reduce spread and slippage for high frequency trading which can be done from our side. Even any piece of code will be great.

First thing comes in my mind is that using stop loss and take profit for your exit rule instead closing buy or stop orders at market price.

However, I heard that slippage can even occur with stop loss and take profit exit too.

So just curious if there is any real advantage over stop loss exit (or take profit exit) as to if we are attempting to close our order at the exactly same price as our stop loss level for example.


What can we do to achieve such a objective of reduce spread and slippage ? Any suggestion will be really appreciated. :)


Kind regards.

Young Ho Seo
15813
Young Ho Seo 2016.02.12 13:12  

Also there is a way to set slippage parameter in OrderSend function.

If we set slippage 1 or 2 instead of 3, does it really helpful in reducing the slippage ?

I was wondering about this for a long time really.

Kind regards.


int  OrderSend( 
   string   symbol,              // symbol 
   int      cmd,                 // operation 
   double   volume,              // volume 
   double   price,               // price 
   int      slippage,            // slippage 
   double   stoploss,            // stop loss 
   double   takeprofit,          // take profit 
   string   comment=NULL,        // comment 
   int      magic=0,             // magic number 
   datetime expiration=0,        // pending order expiration 
   color    arrow_color=clrNONE  // color 
   );
Yinjie Zhang
136
Yinjie Zhang 2016.05.19 06:00  
Young Ho Seo:

Also there is a way to set slippage parameter in OrderSend function.

If we set slippage 1 or 2 instead of 3, does it really helpful in reducing the slippage ?

I was wondering about this for a long time really.

Kind regards.


I don't think so this can prevent slippage , my friend happened S/L slippage 150 point , he loss 50% money;

so my idea has two :

 1. one is distribute your money to multi account , although this will increase  your operation cost;

2. other is frequently withdrawal your money when you have profit ; although this will reduce your profit of future ;

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