Slippage discussion?

[DavR0s]

Hi everyone,

just a short post at this stage as I want to see if there is any interest in this topic first.  I’ll likely contact IG but wanted to see if there are other thoughts and experiences first as there are several issues I am seeing and it’s a bit complicated, so didn’t want to write some long rambling post.

i trade the Dax and Nasdaq indices and use an automated strategy using the API.  I am effectively trying to do a trend trading strategy but on short timescales.  So i set fairly tight stops and then run those trades that leave the area to the plus side.  My win rate is low so have a lot of losers so slippage on stops is quite important to me.

i have a database of trades and 5m data going back over 3years now - so have a lot of data to work with.

i measured the stop slippage several years ago and it was fine for this method but have re measured it recently as I noticed the losing trades were a bit too large and it seems that the slippage has increased quite a lot for Nasdaq (not then Dax). I am trying to see what is behind this.

Anyone interested or tackling similar issues?

Thanks David 

[TheGuru12]

What’s the average spread like, generally? How does it compare to current conditions? I’ve been using IG for over a decade, and I’ve noticed a growing sense of dissatisfaction, not just from myself but across various forums too. I think they really need to prioritize some core areas—like improving the iOS app and refining the API.

While your issue may not be directly tied to the API, in theory, if you know how to use it well, it should offer a better experience compared to the web platform or the standard retail charts. Just my two cents.

As for the problem, it’s definitely not about liquidity in these markets. I’d say it’s more likely due to the rise of algorithmic trading over the years. These high-speed algorithms can take advantage of price movements, often leading to short periods of slippage for regular traders as prices shift rapidly.

Market orders, meant to execute quickly at the best available price, are more prone to slippage compared to limit orders. Since market orders prioritize speed, they don’t guarantee a specific price. If the market price changes in the short moment between when you place the order and when it's actually executed, your trade will go through at the new price, whether it’s better or worse than expected. This makes market orders riskier in fast-moving or volatile markets.

By using the API along with a low-latency server, you can reduce the risk of slippage in some cases. What kind of latency are you experiencing with the API? Avoid using a home connection for this—opt for an affordable VPS, even a $5 one will significantly improve your experience.

[DavR0s]

Hi, thanks for getting back on this

So with Nasdaq and Dax DFB the spread is fixed at 1 and 1.4 points when the main market is open.

The reference to the API probably confused the main point a bit.  The API is what it is and I have learnt to live with the good and bad parts of it.  Anyway the architecture of my setup is that my trading software sits on my server and when a trade is triggered it sends a buy (or sell) request to the server that includes a stop loss.  So the stop sits with IG and my server and internet lag are not part of that equation.  I would therefore expect my opening entries to suffer a bigger slippage as a result and that is what I have seen until recently.

My open slippage (including all my system and internet lags) has been 0.75 for Dax and 0.64 points and that hasn't changed over recent years.  I would expect the Dax be a little higher for reasons I wont go into on this post, so that all makes sense.

My closing slippage has been 0.2 for Dax and 0.40 for Nasdaq up until the middle of this year - again all good and no suprises.  Since start of August the stop slippage has been 0.18 for Dax and 1.27 for Nasdaq.  ie Nasdaq slippage has risen by 300%!

IGs own website posts this table when it talks around stop execution

• Summary
• Most popular currencies
• Most popular indices

Markets	Stops - Zero slippage	Stops - Negative slippage	Limits - Positive slippage	Limits - Zero slippage	Average negative slippage (in pips)	Average positive slippage (in pips)
FTSE 100	95%	5%	50%	50%	0.013	0.048
Germany 40	92%	8%	89%	11%	0.128	0.248
US 500	76%	24%	93%	7%	0.140	0.116
Wall Street	67%	33%	89%	11%	0.184	0.166
Australia 200	82%	18%	51%	49%	0.034	0.035

 

Sadly they dont cover Nasdaq in this table but the general message provided around this table suggests a high % of stops are closed out with no slippage, and the overall total slippage is a fraction of a point.

My Dax results (above) are fairly close to this table.  Drilling down into the trades I can see something about the algorithm for Dax that achieves the results.  For some reason it almost looks like they have changed and deteriorated the stop process on Nasdaq over the summer - and the slippage on stops is double what I am seeing on the opening of the trade. This doesnt look right and is not close to what it was.

I can drill into more detail but wont overload this post at this stage.

Anyone else seeing this or have any idea what is going on?

I dont know if IG monitor these posts - if so would welcome tech input into this as well if possible.

Thanks, David