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Spreads and Slippage

  • #21
  • Aug 27, 2006 9:43pm Aug 27, 2006 9:43pm
Nice discussion, thanks. I am fairly new to Forex and brand new to this group. Great group by the way, lot's of knowledge. Anyway I use MB Trading and trade the news almost GBP/USD exclusivley. I have not noticed any big pip spread during news and my data on MBT usally varies one to two pips from a feed I get from FXCM. Somewhere I was told that MBT uses about ten banks, if that is true that could be the differance. Just noticed there is no spell check. Sorry
  • #22
  • Aug 28, 2006 7:57am Aug 28, 2006 7:57am
There hasn't been any good news to evaluate my MB Trading platform lately. This week should be perfect. I will be watching for the speed of the price action against my other data sources, the ability to get filled and platform stability.
Profit is where readiness meets Opportunity
  • #23
  • Aug 28, 2006 8:18am Aug 28, 2006 8:18am
I don't know about MBTrading in particular, but often demos are run on different servers, which give you really good fills (on demo!!). Things get different when on live servers...

I use MBT as well, but have taken up to 15p slip on news entries....

mk
  • #24
  • Aug 28, 2006 8:55am Aug 28, 2006 8:55am
Quoting mrkam
I don't know about MBTrading in particular, but often demos are run on different servers, which give you really good fills (on demo!!). Things get different when on live servers...

I use MBT as well, but have taken up to 15p slip on news entries....

mk
ehh...15 pip slip is nothing.

I've taken 30 pips on IBFX, 23 on FX Sol, 20 on MBT, and couldn't even get into a trade until the price moved 70 pips on Forex.com (might as well have been slipped).

During news trades, I factor in at least 40 pips of possible slippage on entry in the profitable direction. And I still only lose 1 out of ever 10-12 news trades.

Trust me, 15 pips sounds like a big deal, and it's nothing to gawk at, but if you're choosing to base jump, you have to realize that there is a risk that your chute won't open. Sure if your chute doesn't open and you die it's not necessarily your fault...but your choice was made when you took the plunge.

Let's put it this way, if your positive expectation is LESS than your slippage during a news trade...then DON'T TRADE NEWS. I think that's what gets me about complaining about news trading...if you're only expecting a news trade to pop 25 pips, then why get in at all? If you know what direction the price is moving, you better damned well be aware how much it's already popped and whether or not the move was justified. From a technical stand-point, the price becomes oversold/overbought rather quickly, so any more positive expectation isn't coming from a technical or price action related move...it's coming from momentum...which ya'll really need to pick up on quickly. Ya'll need to know that as the price is towards resistance whether or not there is momentum to take it out and whether or not there is a fundamental indication that it can go longer. If you're just trading the pop (which is perfectly acceptible), then you need to be accutely aware of how high the move could possibly be. If you come out of the trade with positive pips, then you should look at why it worked. If you came out with negative pips and it was due to slippage you need to find out if there was a fundamental reason for the loss (like news wasn't as good as everyone thought it was). If you didn't even HEAR the news and just traded the pop, then what the hell do you expect? you just flipped a coin, saw that the last few spins were black and bet in a direction...slippage or not, you went into the trade blindly. I would venture to say 80% of the type of news trading that goes on in this board has to be of the pseudo-gambling type or everyone would be making money...especially the last few releases were it was so evident what was going to happen prior to the move.

Folks, news trading is highly profitable IF you have an edge. Your edge has to be some sort of knowledge, either of what the numbers are expected to be or what the reaction will be if the numbers come out at a certain point (or both). Point is, slippage should be the minority of your expected move. If you expect the price to pop more 50 pips, then expect slippage to be less than 25 pips. If you know you average 20 pips in slippage, then your positive expectation on the total move from the point where you enter has to be 40 pips. If you get less slippage or it moves more than you made an excellent call...if you get more slippage and make less, then you need to re-evaluate how you decided on your news entry. Did you wait too long? or did the price entry just move too fast for it to be profitable? If you waited too long, then that's a psychology issue. If the move happened too fast, then chalk that up to risk...PERIOD...that's just a risk you take that your price will move away faster than you can think...too bad...so sad. Take the hit and move on...you can't say to yourself (if only I didn't get slipped)...tell you what, it was probably a combination of the fact that you were too slow to enter an order or your momentary hesitation...why don't you get a cybernetic implant that allows you to enter a buy or sell order on a though. That would definitely help. :-)

Sorry, I know it sounds like a rant, but spreads and slippage problems...just seems like such a foreign concept when you guys talk about it and I dunno, I've seen this stuff since I started trading equities 10 years ago. Just doesn't phase me any more. Perhaps it's just the experiencing talking...
  • #25
  • Aug 28, 2006 10:33pm Aug 28, 2006 10:33pm
I have found the MBT demo platform does not perform as well as the live trading. Lots of development going on I guess.

I will also let you know what type of slip I encounter. Someplace in all these threads there is a really good disertation by a member called Dark Star partialy on what causes spreads and by default I believe what we call slip.
  • #26
  • Aug 29, 2006 6:55am Aug 29, 2006 6:55am
Quoting mrmikal
ehh...15 pip slip is nothing.

I've taken 30 pips on IBFX, 23 on FX Sol, 20 on MBT, and couldn't even get into a trade until the price moved 70 pips on Forex.com (might as well have been slipped).

During news trades, I factor in at least 40 pips of possible slippage on entry in the profitable direction. And I still only lose 1 out of ever 10-12 news trades.

Trust me, 15 pips sounds like a big deal, and it's nothing to gawk at, but if you're choosing to base jump, you have to realize that there is a risk that your chute won't open. Sure if your chute doesn't open and you die it's not necessarily your fault...but your choice was made when you took the plunge.

Let's put it this way, if your positive expectation is LESS than your slippage during a news trade...then DON'T TRADE NEWS. I think that's what gets me about complaining about news trading...if you're only expecting a news trade to pop 25 pips, then why get in at all? If you know what direction the price is moving, you better damned well be aware how much it's already popped and whether or not the move was justified. From a technical stand-point, the price becomes oversold/overbought rather quickly, so any more positive expectation isn't coming from a technical or price action related move...it's coming from momentum...which ya'll really need to pick up on quickly. Ya'll need to know that as the price is towards resistance whether or not there is momentum to take it out and whether or not there is a fundamental indication that it can go longer. If you're just trading the pop (which is perfectly acceptible), then you need to be accutely aware of how high the move could possibly be. If you come out of the trade with positive pips, then you should look at why it worked. If you came out with negative pips and it was due to slippage you need to find out if there was a fundamental reason for the loss (like news wasn't as good as everyone thought it was). If you didn't even HEAR the news and just traded the pop, then what the hell do you expect? you just flipped a coin, saw that the last few spins were black and bet in a direction...slippage or not, you went into the trade blindly. I would venture to say 80% of the type of news trading that goes on in this board has to be of the pseudo-gambling type or everyone would be making money...especially the last few releases were it was so evident what was going to happen prior to the move.

Folks, news trading is highly profitable IF you have an edge. Your edge has to be some sort of knowledge, either of what the numbers are expected to be or what the reaction will be if the numbers come out at a certain point (or both). Point is, slippage should be the minority of your expected move. If you expect the price to pop more 50 pips, then expect slippage to be less than 25 pips. If you know you average 20 pips in slippage, then your positive expectation on the total move from the point where you enter has to be 40 pips. If you get less slippage or it moves more than you made an excellent call...if you get more slippage and make less, then you need to re-evaluate how you decided on your news entry. Did you wait too long? or did the price entry just move too fast for it to be profitable? If you waited too long, then that's a psychology issue. If the move happened too fast, then chalk that up to risk...PERIOD...that's just a risk you take that your price will move away faster than you can think...too bad...so sad. Take the hit and move on...you can't say to yourself (if only I didn't get slipped)...tell you what, it was probably a combination of the fact that you were too slow to enter an order or your momentary hesitation...why don't you get a cybernetic implant that allows you to enter a buy or sell order on a though. That would definitely help. :-)

Sorry, I know it sounds like a rant, but spreads and slippage problems...just seems like such a foreign concept when you guys talk about it and I dunno, I've seen this stuff since I started trading equities 10 years ago. Just doesn't phase me any more. Perhaps it's just the experiencing talking...
I love it. Perfect analogy. I choose to take the plunge!!! Let's see how MB does this week.
Profit is where readiness meets Opportunity
  • #27
  • Aug 29, 2006 7:01am Aug 29, 2006 7:01am
Quoting mrkam
I don't know about MBTrading in particular, but often demos are run on different servers, which give you really good fills (on demo!!). Things get different when on live servers...

I use MBT as well, but have taken up to 15p slip on news entries....

mk
I would NEVER use a demo to evaluate fills. I only use demos to evaluate the "feel" of the platform or to test new strategies. Things only "get real" when there is money at stake.
Profit is where readiness meets Opportunity
  • #28
  • Edited 9:46am Sep 1, 2006 9:46am | Edited 9:46am
I straddled today for Non Farm Payroll with my MB Trading platform. It performed well and I will share what I saw.

Previously I had complained of 13 pips slippage using a stop market entry order. I was Advised by MB to use Stop Limit entry orders for data. So, I have been using them ever since. The draw back to the Stop Limit entry order is that if you cannot get your specidied price range, you will not get filled at all. So you must decide going in if you would rather have the chance of substantial slippage or a chance of no fill at all.

So far, my Stop Limit orders have been filled everytime and at a price as much as 6 pips better than specified !!! However, none of these have been in the type of serious volatility spikes we saw last month. So, while I am please so far, I am still curious to see If I get filled in one of those monster spikes.

Non farm trade went perfectly. Platform was completely stable.
The pound dances around like crazy spreads were all over the place from 5 or more inverted to 10 or 12. Honestly they were moving so fast I could not tell you for sure how wide or inverted they maxed out at. The other 3 dollar cosses were much , much more stable. with the spreads pretty much staying between 0 and 5.
Profit is where readiness meets Opportunity
  • #29
  • Sep 1, 2006 3:01pm Sep 1, 2006 3:01pm
Quoting FXopportunist
Hello, TimeFreedom

This time around I used a Stop Market for my entry order. According to MB's website when a Stop Market order is used a market order is sent out when the Stop price has been traded at. It says you can also use a Stop Limit order which may only be filled at the EXACT price but may not be filled at all in a fast moving market.
I will use a Stop Limit order next time. However, my bet is that I will not be filled at all.
I also noticed that MB's prices was running behind compred to my primary platform and behind my charting software also. this may be why i did not get a good fill. If the platform's price action is slow, obviouisly my market order would come in very late.
I will keep everyone posted as to how the next data trade goes.
This is what I did today during NFP. I had a 20-pip "spread" between the buy/sell stops and the limit prices associated with them. So my Sell Stop Limit order with trailing stop was set for $1.9022 on the stop at a limit of $1.9002... filled at $1.9016.
  • #30
  • Sep 1, 2006 4:28pm Sep 1, 2006 4:28pm
<TABLE class=tborder cellSpacing=1 cellPadding=6 width="100%" align=center border=0><TBODY><TR title="Post 91385" vAlign=top><TD class=alt1 align=middle width=125>FXopportunist</TD><TD class=alt2>Quote:
<TABLE cellSpacing=0 cellPadding=6 width="100%" border=0><TBODY><TR><TD class=alt2 style="BORDER-RIGHT: 1px inset; BORDER-TOP: 1px inset; BORDER-LEFT: 1px inset; BORDER-BOTTOM: 1px inset">Originally Posted by mrkam
I don't know about MBTrading in particular, but often demos are run on different servers, which give you really good fills (on demo!!). Things get different when on live servers...

I use MBT as well, but have taken up to 15p slip on news entries....

mk
</TD></TR></TBODY></TABLE>


I would NEVER use a demo to evaluate fills. I only use demos to evaluate the "feel" of the platform or to test new strategies. Things only "get real" when there is money at stake.</TD></TR></TBODY></TABLE>

My thoughts exactly on demo trading, great way to state the facts...
  • #31
  • Sep 8, 2006 6:56am Sep 8, 2006 6:56am
Straddled Canadian unemployment today.

was a good solid 40 pip spike

Used Stop Limit orders 15 above and below.

No Fill.

Last heavy spike I tried a Stop Market order and the slippage was 13 pips.

While it is way to early to draw a conclusion, that is what we know so far.
Profit is where readiness meets Opportunity
  • #32
  • Sep 8, 2006 12:08pm Sep 8, 2006 12:08pm
Quoting FXopportunist
Straddled Canadian unemployment today.

was a good solid 40 pip spike

Used Stop Limit orders 15 above and below.

No Fill.

Last heavy spike I tried a Stop Market order and the slippage was 13 pips.

While it is way to early to draw a conclusion, that is what we know so far.
Yeah, stop limit could have been busted through...if you really want in, you're going to have to pick support/resistance points carefully and far enough away from the entry OR you need to get in through a market order WITH slippage...that's the only way, my friend. Slippage WILL ALWAYS OCCUR with a fast moving market (and a poorly placed market order).

13 pip slippage is pretty good on a spike...the trade should have yielded another 30-50 pips after that anyway...right?
  • #33
  • Sep 8, 2006 12:46pm Sep 8, 2006 12:46pm
Quoting mrmikal
Yeah, stop limit could have been busted through...if you really want in, you're going to have to pick support/resistance points carefully and far enough away from the entry OR you need to get in through a market order WITH slippage...that's the only way, my friend. Slippage WILL ALWAYS OCCUR with a fast moving market (and a poorly placed market order).

13 pip slippage is pretty good on a spike...the trade should have yielded another 30-50 pips after that anyway...right?
Ya know, it should have. I seem to remember the CAD doing this on a previous announcment. It goes back and retests the pre-move price and then goes for the rest of the day. The data was certainly strong enough. But, by that time I was fascinated with my old friend the pound and made my money there for the day.
Profit is where readiness meets Opportunity
  • #34
  • Sep 9, 2006 4:58am Sep 9, 2006 4:58am
Yea; I printed out a 5 second chart on that move. Starting at 6:00 central:
Up app2 pips in first 5sec
up another 21 pips in next 5 sec
up another 10 pips in next 5 seconds
up 8 pips then down 4 pips in next 5 sec
In the next 45 seconds it retracted about 22 pips

I don't blink this fast.

Quoting FXopportunist
Straddled Canadian unemployment today.

was a good solid 40 pip spike

Used Stop Limit orders 15 above and below.

No Fill.

Last heavy spike I tried a Stop Market order and the slippage was 13 pips.

While it is way to early to draw a conclusion, that is what we know so far.
  • #35
  • Sep 9, 2006 11:16pm Sep 9, 2006 11:16pm
Quoting bapxyz
Yea; I printed out a 5 second chart on that move. Starting at 6:00 central:
Up app2 pips in first 5sec
up another 21 pips in next 5 sec
up another 10 pips in next 5 seconds
up 8 pips then down 4 pips in next 5 sec
In the next 45 seconds it retracted about 22 pips

I don't blink this fast.
Exactly right. I put in an order similar FXopportunist. I got filled on the retracement and then sold a few pips up from there (see orderbook in Canadian employment thread).
  • #36
  • Sep 12, 2006 8:15am Sep 12, 2006 8:15am
Used stop limit order today on Trade balances. NO FILL

Stop Limit settings stop 1.8737 limit 1.8742

Also took a Franc short with a maket order on the reverse during pretty normal price movement and was slipped 5 pips. Pretty disappointed with that much slippage considereing the price action when it happened. These are not mini lots either so that is not the issue. No slip on the exit but the price was not moving.
Profit is where readiness meets Opportunity
  • #37
  • Sep 12, 2006 7:35pm Sep 12, 2006 7:35pm
  •  IoanD
  • | Joined Aug 2006 | Status: Think one step ahead.. | 2 Posts
I believe that when one is trading the news it is very important to have the news in time. In fact that is what news trading is about. Getting the news, taking a decision regarding the move that will fallow and placing the actual order. I also agree with mrmikal regarding the way traders should trade the important releses.
  • #38
  • Sep 20, 2006 1:56pm Sep 20, 2006 1:56pm
MB Trading gave me a mild heart attack today. They went down twice during the FOMC. Anyone else have this experience?
Profit is where readiness meets Opportunity
  • #39
  • Sep 20, 2006 2:05pm Sep 20, 2006 2:05pm
DId you get filled today during the annoumcment? That is strange, MB crashed twice during the annoucement? Hopefully you didnt lose any money.
  • #40
  • Sep 20, 2006 2:16pm Sep 20, 2006 2:16pm
Quoting FXopportunist
MB Trading gave me a mild heart attack today. They went down twice during the FOMC. Anyone else have this experience?
For me only once. Their quote server went down at exactly 2:21 pm... all I did was double-click the red light on the main MBT Navigator window status bar, and I was instantly reconnected.

Date Message Time
9/20/2006 Connected to perm server 1:54:22 PM
9/20/2006 Connected to quote server 1:54:23 PM
9/20/2006 Connected to order server 1:54:23 PM
9/20/2006 Currency traders: Fast market conditions trade with caution, http://www.mbtrading.com/fx/fastmarketconditions.asp 2:10:49 PM
9/20/2006 Disconnected from quote server 2:20:58 PM
9/20/2006 Connected to quote server 2:21:06 PM


No problems since. No need for a heart attack!

Quoting hunter101
DId you get filled today during the annoumcment? That is strange, MB crashed twice during the annoucement? Hopefully you didnt lose any money.
Didn't get filled because I didn't try. I sat out the announcement, just watching. MB only crashed once... what does your alerts say? Right-click, export data, copy to clipboard, paste here... I'd like to see what it said on your computers.
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