Slippage - Interesting figure

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Chuck B
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Re: Positive (profitable) slippage

Post by Chuck B » Mon Jun 02, 2008 1:14 pm

Mark Johnson wrote:On Friday one of my systems placed a stop order with my broker to sell August 08 crude at "the blue line", 125.09. The market traded there but my order was not filled. In theory (and in Blox), my order WAS filled. So today I placed a market order to "fix up the discrepancy", selling DRT. I got filled at 129.25 (!!) which is 4.16 handles, four hundred and sixteen ticks, better than my stop price. Positive slippage: woo hoo.
Mark,

I'm sorry, I can't follow how this worked. Did the broker have discretion on the order? If it was placed in the exchange engine, there will likely never be a case where the price trades a stop order trigger and the engine fails to follow through on order execution. I see it traded well under your stop price early in the morning Friday, but during the US daytime hours, the low in CLQ08 was well above your value.

The second part is that you apparently waited well into today's session to place the sell order since it didn't clear 129 until around lunchtime (NY time) today.

Chuck

RedRock
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Post by RedRock » Mon Jun 02, 2008 1:32 pm

The market giveth - and the market taketh away... Last night filled an exit order 20+ tics beyond intention on a one min wonder spike in the Globex AD. Cash traded nowhere close to this opportunistic (for some entity, ill wager) maelstrom. Exchange says trades fair, just, and will stand. P lease.

Such is life in the fast track

Mark Johnson
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Post by Mark Johnson » Mon Jun 02, 2008 1:38 pm

Hi Chuck, it's no mystery when you consider that this is one guy trading 5 systems on 100 markets each using daily bar data. When you write out the Occam's Razor list of likely explanations for Friday's non-fill, the one at the top of the list turns out to be the right answer. Same goes for Monday: when you make a second list of likely explanations for that fill, the one at the top of that list is right.

Best, MJ

ladadriver
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Post by ladadriver » Mon Jun 02, 2008 3:00 pm

Mark Johnson wrote:Hi Chuck, it's no mystery when you consider that this is one guy trading 5 systems on 100 markets each using daily bar data. When you write out the Occam's Razor list of likely explanations for Friday's non-fill, the one at the top of the list turns out to be the right answer. Same goes for Monday: when you make a second list of likely explanations for that fill, the one at the top of that list is right.

Best, MJ
In London, the story above can be referred to as having "an absolute touch". In my mind, even more so if human error has been rewarded :)

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"Stat" in medical parlance is actually not an acronym; it's short for statim, the Latin word for immediately.

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