Adding to the slippage discussion from yesterday. This
morning, my TS triggered to buy AIG at the open. It took 1
min 43 seconds to fill at IB, with a difference in price of
.11 Turning a losing trade into a bigger losing trade.
deberah -- that doesn't seem so unusual actually.
Sometimes orders placed at the open can take a long time to fill --
even on high-volume ETFs or stocks -- just because there's a
backlog of orders ahead of yours. Many times I've given up
chasing a trade at the open because I haven't gotten filled in 30
or 60 seconds and price has moved up...
You have some problem on your end apparently. Orders
should go through instantly, I mean instantly.
On the other hand, one point I want to make, sometimes the Pivot
system will do a BS trade on the open, therefore I wait until 1 min
after the market opens before I turn it on.
but as far as slippage, you have something wrong on your end
The order went instantly from TS to IB........it just took IB
that long to fill it. I sat and watched it. Actually
was trying to cancel it when I saw how long it was
taking........but wasn't quite fast enough.
Posted by leekaufman on 30th of Sep 2009 at 09:54 am
I've been having the same problem lately with trades not going
through quickly. I think it has something to do with
Tradestation holding the trade.
Under the Tradestation Trademanager window, check out the the
"strategy orders" tab. There is a column called "order
held". I think there may be something in the Easylanguage
code or the way a certain strategy is constructed that prevents it
from being sent immediately.
I've reviewed the tradebullet log and its communication with
Interactive Brokers and that all seems to be working perfectly, and
quickly (milliseconds).
I'd love to resolve this and would appreciate any thoughts/ideas
you all have.
aswell as slippage, there are of course dealing costs to take on
board when evaluating the AIG System. I can I see its merits and
its clearly working at present.
However, given the slippage and dealing costs, i am not going to
trade this strategy anymore not to mention the inability to be able
to always short stock with T/S
Not taking anything away from it though. Its still a great
strategy whilst the ATR for AIG remains high
no it doesn't have anything to do with TS, you probably have to
adjust something in your Tradebullet settings. In options
there is a box called "Wait for TS to report fill orders and send
market, don't check that, check 'Send the TS order as is'
Also have No fill management checked
but anyway let's get off this subject, the market is selling
off
turn on that system 1 min after the market opens, because the TS
pivots sometime give BS orders on the open, therefore I turn it on
about 1 min after the market opens, then you avoid those
Slippage
Posted by deberah on 30th of Sep 2009 at 09:39 am
Adding to the slippage discussion from yesterday. This morning, my TS triggered to buy AIG at the open. It took 1 min 43 seconds to fill at IB, with a difference in price of .11 Turning a losing trade into a bigger losing trade.
deberah -- that doesn't seem
Posted by Michael on 30th of Sep 2009 at 09:57 am
deberah -- that doesn't seem so unusual actually. Sometimes orders placed at the open can take a long time to fill -- even on high-volume ETFs or stocks -- just because there's a backlog of orders ahead of yours. Many times I've given up chasing a trade at the open because I haven't gotten filled in 30 or 60 seconds and price has moved up...
You have some problem on
Posted by matt on 30th of Sep 2009 at 09:45 am
You have some problem on your end apparently. Orders should go through instantly, I mean instantly.
On the other hand, one point I want to make, sometimes the Pivot system will do a BS trade on the open, therefore I wait until 1 min after the market opens before I turn it on.
but as far as slippage, you have something wrong on your end
The order went instantly from
Posted by deberah on 30th of Sep 2009 at 09:47 am
The order went instantly from TS to IB........it just took IB that long to fill it. I sat and watched it. Actually was trying to cancel it when I saw how long it was taking........but wasn't quite fast enough.
Slippage
Posted by leekaufman on 30th of Sep 2009 at 09:54 am
I've been having the same problem lately with trades not going through quickly. I think it has something to do with Tradestation holding the trade.
Under the Tradestation Trademanager window, check out the the "strategy orders" tab. There is a column called "order held". I think there may be something in the Easylanguage code or the way a certain strategy is constructed that prevents it from being sent immediately.
I've reviewed the tradebullet log and its communication with Interactive Brokers and that all seems to be working perfectly, and quickly (milliseconds).
I'd love to resolve this and would appreciate any thoughts/ideas you all have.
Title: expand aswell as slippage, there
Posted by vnathwani on 30th of Sep 2009 at 10:38 am
aswell as slippage, there are of course dealing costs to take on board when evaluating the AIG System. I can I see its merits and its clearly working at present.
However, given the slippage and dealing costs, i am not going to trade this strategy anymore not to mention the inability to be able to always short stock with T/S
Not taking anything away from it though. Its still a great strategy whilst the ATR for AIG remains high
no it doesn't have anything
Posted by matt on 30th of Sep 2009 at 09:57 am
no it doesn't have anything to do with TS, you probably have to adjust something in your Tradebullet settings. In options there is a box called "Wait for TS to report fill orders and send market, don't check that, check 'Send the TS order as is'
Also have No fill management checked
but anyway let's get off this subject, the market is selling off
turn on that system 1
Posted by matt on 30th of Sep 2009 at 09:53 am
turn on that system 1 min after the market opens, because the TS pivots sometime give BS orders on the open, therefore I turn it on about 1 min after the market opens, then you avoid those
matt is there any way
Posted by 1800promote on 30th of Sep 2009 at 09:59 am
matt is there any way to automate this?..turn it on 1 min after market opens?
yes you could automate this you
Posted by rank10 on 30th of Sep 2009 at 10:30 am
yes you could automate this
you can add an conditional statement to the buy/sell order to only buy after a 8:35 or whatever time you want