Monday, February 22, 2010

Lucky Loser

2:45pm CST - Negative day but was "lucky" and surprised at the fill on one of my stops. 4 ticks POSITIVE slippage!


Net breakdown (contracts traded):
ZS -$258(4)
RESULTS FOR DAY
Contracts:4
Net $P/L:-258
Wins:0
Losses:2
Win%:0
Avg$Win:0
Avg$Loss:-129
Posted by at

3 comments:

  1. AnonymousFebruary 22, 2010 at 3:55 PM

    Retail slippage is too high, I think. M1 relied on the market being reasonably tight, but today it had a 40cent slippage. I doubt the CME situation is much better at all.

    The problem is that the market data you see is a full 200-300ms later while the high frequency players are seeing it on the order of 20-30 microseconds. So, to avoid slippage, you really have to be putting limit orders out there and adding liquidity instead of removing it -- but the problem is that if you get hit, the odds are it's happening because of adverse selection and you will get run through. Likewise with removing, so there's a kind of intelligence required with regards to the right times to add or remove.

    So, ultimately, putting a position on while the market is moving is going to be a stab in the dark for the retail trader. I'm using automated execution also, but it doesn't help at all if the order is a market order.

    I'm also started to believe that to actually make it as a retail trader, your wins have to be 5-8 times larger than your losers; otherwise, the casino's rake (commission) will chew up too much of the profit.

    Retail trading is a completely and totally different game than what the high frequency players run, so these attempts at scalping and such don't mirror backtests at all.

    ReplyDelete
  2. HPTFebruary 23, 2010 at 1:31 AM

    If you don't mind me asking, what broker and platform do you use for automation tuxedocat?

    ReplyDelete
  3. MBAGearheadFebruary 23, 2010 at 1:36 PM

    Slippage is part of the business. I never had to worry with ES being so liquid but now that I'm not trading ES much anymore, it has to be factored into backtesting and system development. This fill 4 ticks in my favor was something I'll likely never see again!

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