Hi all!
I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.
I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.
I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.
I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:
This means on average I lose about 1.71 pips (4th decimal) on slippage each trade .
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.
When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.
At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?
I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.
I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.
I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.
I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:
This means on average I lose about 1.71 pips (4th decimal) on slippage each trade .
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.
When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.
At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?
What slippage is normal? Stats on my 4621 trades
