I think the following should explain why the slippage was so bad on your order.
interactivebrokers.com
From the Interactive website:
STOP-LIMIT orders
STOP-LIMIT orders are provided for stocks, options and futures traded on U.S. Markets. Please note that stops placed on NYSE products are handled differently than stops on NASD products. Click here for more information on how they are handled. STOP-LIMIT orders contain two prices, namely the STOP price and the LIMIT price. The order becomes an active LIMIT order when the STOP price is touched or crossed by the market price. For example, BUY STOP 1257.50, LIMIT 1259.00 becomes a LIMIT order to BUY at 1259.00 when the market trades at 1257.50 or higher. Regardless of whether an exchange accepts and processes STOP-LIMIT orders, Interactive Brokers will simulate all STOP-LIMIT orders.
=========
Sounds like you get what you pay for to me.
Here are some things posted below that I found on the web posted by diligent traders that actually do their own homework and that have learned all the order handling intricacies to protect their capital and that fully accept the risk in such trading. I use a Best Direct system from a small boutique introducing broker that routes my stops to the CME Globex que. Orders are sometimes filled before the quote updates on my screen. The bottom line is that you are using server held stop limit orders over at IB and the Globex system will handle those on the server without IB having to hold such orders.
======================
Trading is 90% psychology and 10% technique. Thus, aside from building
enough confidence to pull the trigger the first few times, paper trading is
of relatively little value. Thus, you are wise to impose the 2% limit.
Some techniques to reduce your emini slippage:
a) use electronic order entry
b) use limit and/or stop limit (.25 spread) orders to enter
c) use stop limit (20* handle spread) orders for stops
Unlike stop orders, stop limit orders are held in the exchange computers and
are the first to be triggered when a stop price is hit. This is something I
learned from my exchanges here with John Lothian
(http://www.pricegroupetd.com/) and the use of stop limit orders has reduced
my slippage significantly.
I use .25 spread on entry to controls slippage (I have never missed an entry
and rarely get the .25 slippage) and the 20* handle spread on stop loss to
give it plenty of range for execution to insure I get out.
20* handles in the emini is the approximate maximum spread between stop and
limit on stop limit order which will be accepted by Globex without rejecting
the order. The exact rules are not disclosed on the CME pages and do not
jive with the quarterly limits.
XXXX
At 07:47 AM 11/19/2001 +0000, you wrote:
>Of course, that begs the question -- who do you use ? :-)
>
>On Mon, 19 Nov 2001, xxxxxxx wrote:
>
>#This depends on the type of online system you use. For myself, I see ZERO
>#slippage on entry because I always use stop-limit orders (same stop & limit
>#price) and get filled 99 times out of a 100. Not all systems offer
>#stop-limit orders. For exiting with profit I use Limit orders (i.e. no
>#slippage) and with loss I use plain stop orders. I occasionally see a tick
>#of slippage on stop orders but most of the time the fill is at my stop price.
>#
>#If you use an online system where stop orders are held on the CME's
>#servers, then slippage is usually minimised because your order is queued
>#and filled according to when it was received. Execution is instantaneous
>#as the price is hit (I often see the fill before my screen shows the
>#quote!). By contrast, if you go with a firm that holds your stop orders
>#locally on their servers (e.g. IB, PMBe), then the order is only released
>#after the stop price is hit i.e. your order gets lowest priority and
>#results in a few seconds extra delay. The potential for slippage on such
>#systems is much higher than systems that let you hold stops at the
I just wanted to comment on my experience with IB. We trade several S&P systems and our experience has been similar to Earl Adamy's. We are generally entering on stops with 1 to 2 ticks limits.
Although the interface is my personal favorite of the several order entry systems we have used (PMB, Webvestor, Lind), because of speed of entry and the speed in reporting a fill (plus the lower costs of commissions are a factor), many of our orders were coming back "unable" on the stop and we would have to chase it much higher (or lower) to get filled. This was not the case with stop orders we placed over the phone with our regular broker that were queued directly into the Globex system. Those stop orders were being executed at the stop limit almost every time.
We are in the process of switching back to trading the old way (placing directly with our broker and directly with Globex and paying higher commissions) because of this slippage with IB.
It appears (as XXX confirmed about IB) that IB and PMB both wait until your stop price is traded and then enter your order - which puts you a bit behind and as Earl said - last in the queue. Thanks XXX for your comments.
XXX XXX
From:
>Reply-To:
>To: <omega-list@xxxxxxxxxx>, trader@xxxxxxxxxx>
>Subject: Re: Profit Taking --- Round 2 --- Other Alternatives
>Date: Sun, 18 Nov 2001 19:46:28 -0500
>
>Simon wrote;
>
>By contrast, if you go with a firm that holds your stop orders
>locally on their servers (e.g. IB, PMBe), then the order is only released
>after the stop price is hit i.e. your order gets lowest priority and
>results in a few seconds extra delay. The potential for slippage on such
>systems is much higher than systems that let you hold stops at the CME.
>=========
>
>I disagree with this. First the delay is virtually negilgable---- a second
>maybe. Two, my experience is synthetic stops held on your own pc get better
>fills then stops held at CME. Plus stops held on your own machine are NOT
>visible on a globex terminal. I have the option of going either way, and
>synthetic has worked best.
"I disagree with this. First the delay is virtually negilgable---- a second
maybe. Two, my experience is synthetic stops held on your own pc get better
fills then stops held at CME."
Sometimes that delay may cause positive slippage :).... but once in a while,
in very fast (green-speak) markets, synthetic stops
can cost you. Another trader and I had similar stops, mine stop/limit,
his off-CME vanilla stop: no slippage for me, 15 points for him, right after
greenie talked. Remember: first in, first out, is the CME rule.
Then again a stop/limit can cost you a fill altogether (for better or for
worse).
XX |
