Positve Slippage Negative Slippage columns

kricka
17 Jun 2016, 11:46

Slippage

I agree that would be very helpful to get that kind of information in the History. To know if there is any slippage you can have a look the Bought and Sold cBot. Very easy to see if the latest closed position has any positive or negative slippage.

Download and information link: Bought and Sold cBot

Spotware
17 Jun 2016, 14:56

Dear Trader,

Thank you for your suggestion. We will consider it. Additionally, you can post your ideas/suggestions to http://vote.spotware.com/

MK-cTrader
17 Jun 2016, 19:29

RE: Slippage

kricka said:

I agree that would be very helpful to get that kind of information in the History. To know if there is any slippage you can have a look the Bought and Sold cBot. Very easy to see if the latest closed position has any positive or negative slippage.

Download and information link: Bought and Sold cBot

Hi,

I have installed it but I cannot find any info on positve / negative slippage for the last trade.

Perhaps I am missing here something, so a hint would be appreciated.

MK-cTrader
17 Jun 2016, 19:30

also i would be happy to see on Entry and Exit if slippage occured and how much.

is this possible with your tool ?

kricka
17 Jun 2016, 21:40

Slippage and latency

What you have to do is look at the stop loss and target you have in place on a position and when they are hit, how much they differs from the pips closed on the Bought and Sold cBot. Let's say you have a stop loss on 15 pips on your position and you get stopped out. The pips in loss should be 15 pips on the Bought and Sold cbot, if not the slippage is in your favor or against you.

It all depends on where your algorithm is running. If you run it on your local computer the slippage will be more, if it is run on a VPS it will be more close to the the exact stop loss or target.

Also if you place a market order on you local computer the slippage will be more because of the latency to the brokerage server.

kricka
18 Jun 2016, 00:16

The difference between slippage and latency

To narrow it down a little bit more and explaining the difference between slippage and latency.

Latency is the time the signal has to travel to the brokerage server, it is measured in ms ( milliseconds ). When trading from a local computer it can vary from 50-200ms depending on how fast the local internet connection is. The exact latency can be found in the lower right hand corner of cAlgo and cTrader, Server latency. When trading on a VPS server it can go down as low as 1ms depending on how close to the brokerage server the VPS is located.

Slippage on the other hand is the difference of the requested price when the order is reached to the brokerage server and thereafter the price that is actually being filled.

Another important question when it comes to time, is the execution time from the broker when the order arrives to the server. Count on it being around 200-250ms.

So the more ms saved the better for the trader. This includes the hardware used in trading, gaming mouse and keyboard with the fastest response time and a fast CPU, SSD and enough ram memory will certainly help to bring down the overall trading time cycle of an order.

MK-cTrader
20 Jun 2016, 18:32

entered price vs filled price = slippage

Dear kricka,

thanks for your time to explain all the stuff and offer your help, really appreciated.

I am fully aware of the latency, VPS ... issues.

I am talking about Pending order like Limit orders, TP and SL orders which do reside colocated onced placed.

Can you implement something like a statistic of (entered price) vs (filled price) = slippage ?

Visualisation could be done like /algos/indicators/show/834

A column or something like volume log is doing would be great, to get a feel for slippage.

Hopefully cTrader will implement direct...

Thx

moneybiz
20 Jun 2016, 20:48

Slippage can be calculated very easily.
Before sending the ExecuteMarketOrder request save the current Bid/Ask depending on the side you trade and if the execution is successful take the difference between the Entry Price and saved price.
 

var side = TradeType.Buy;

var expectedPrice = side ==  TradeType.Buy ? Symbol.Bid : Symbol.Ask
var result = ExecuteMarketOrder(....);

if (result.IsSuccessful)
{
   var slippage = position.EntryPrice - expectedPrice;
   var slippagePips = slippage/Symbol.PipSize;

   if (slippagePips > 0)
   {
      // The price was worse than expected.
   }
}

If you don't want slippage you can use pending orders. Since they are waiting on the server side to be filled they won't suffer from client-server round trip.
If slippage for pending order is not zero and always worse than expected then the broker is probably putting some commissions on the price. :)

moneybiz
21 Jun 2016, 00:05

Correction:

var expectedPrice = side == TradeType.Buy ? Symbol.Ask : Symbol.Bid;