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At 12:02 AM +0200 9/9/01, tszz@xxxxxxxxx wrote:
>I'd like to know how to evaluate Commission & Slippage precisely in order
>to enter the right value into my TradeStation "trade costs" Strategies.
The best way I have found to estimate the slippage is to see how far
the market moves between when you get the tick that triggers the
entry and when you get the fill. You have to include the delays in
your data feed and some allowance for the spread.
So if your data feed is running late by 5 seconds and it takes 15
seconds for a fill for a market order, then your slippage on a market
order is the distance in price that the market moved in that 20
seconds, plus the bid/ask spread.
If you are entering on a stop, the market is obviously moving in the
correct direction before the entry so it is likely to be moving fast,
resulting in a lot of slippage. If you use counter-trend entries
where you enter long while the market is still moving down, you can
even get negative slippage.
This all assume a very liquid market such as ES or NQ. With less
liquidity, you tend to get more slippage. And with pit-traded
futures, slippage seems to be bigger than with electronic markets.
Bob Fulks
Bob Fulks
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