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About S&P Slippage John Dundee wrote:
Tom and all,
You can disagree all you want but in this post you admitted to exactly what I
was referring to. If you pick up the phone and the market order fill is at a
price you did not expect, better or worse, that is noise and slippage and you
are not in control. Stops will get hit, if you use them, most likely where
many
others exist, triggering allot of market orders and steak dinner for the floor
and allot of slippage for the trader. High anxiety trading is for those who
seek
it and thrive on stress.
Traded the S&P full time almost three years. Watched it change radically in
this
time as the daily range expanded almost 3 times what it was three years ago.
Moved to the more liquid orderly bond market, cut stress, make more money, no
slippage, able to limit risk to a couple of ticks, no major noise, filled
where
I expect to be and added peace and joy to my daily work again.
There is no other market I can think of like the S&P where each day the
programs
traders rule the day trading game. Each day there are on average 6 to 7 buy
and
sell programs run here. This adds to the other problems. Since the Spoos is
used by most of the large program operators it is more subject to manipulation
than any market. Suppose some would say that they have tools indicators or a
physic sixth sense as to when another person is going to push the button and
run
their program but what I do know is that no one who has this sort of ability,
only those who think they do. It would be hiding the truth not to disclose
that
many floor traders and good private traders have either left trading totally
or
gone on to greener pastures after the day to day getting whacked and the
breath
holding encountered trading here. It is a good place for gun slingers and
loose
cannons to get their thrills.
My discipline includes three main things, 1.) not to lose money 2.) limit my
risk 3.) make money. The S&P fails to meet the first two because there is not
enough control available there to any trader except the major program
operators.
Good Trading,
JD
John,
It seems to me that if a systen has been properly(honestly) tested, one of the
factors that must be included in that test is slippage and commisions. For the
S&P's currently, to reflect my real costs, I have to use 50 points slippage
plus $25 commission. I program that into my systems and over the last 12
months it has
reflected my real time trading results. I know if I chose to trade the S&P's
my system and I have to cover those costs. I know based on real time experence
and back testing that my systems will over time be profitable even with the
slippage inherent with the S&P's, maybe I'm wired differently but based on my
homework slippage is taken for granted and I do not let it bother me. With one
exception: I have had an occasional fill 150 points away from my stop, that
does bug me but with the S&P's I've got to expect it and let it go. It's my
choice to participate in this market.
Good Trading,
Bob Redman
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