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I trade a long term trend system (Same system for 3+ years) I do a lot of
rolloever orders.
All my orders are MOCs. In my experience spead orders will have slightly
better fills than 2 separate orders.
The only way to measure is experience. I have kept very accurate records of
my slippage on fills (easy to do since all my orders are MOC or MOO).
I started using LeoWeb a few months ago. I was hesitant since I had been
getting very reasonable fills with my live broker for several years. I have
been pleasantly surprised at the good fills I have been getting with Leo.
Better than the live broker I think. Plus the commission is cheaper. And the
live broker is there for problems.
Over 300 real money trades over the last 3 years, my average slippage is
$7.74 per contract each way. This includes a few horrible ones > $100 each
way. But they are very rare. A lot of the time I get the settlement price,
occasionally even better. This averages out the real bad ones.
I trade the major currencies, short IRates, including FF, some grains
including RR, and SB, SI.
SH
> In terms of reducing slippage, does anyone know the best type of order to
> use at rollover? For example, is it best to use market orders to close the
> existing position and enter the new one. Or, would using a spread order to
> combine the two orders into one order reduce slippage. Seemingly, the
latter
> would be preferable, but can the difference even be measured?
> Thanks,
> Trey Johnson
>
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