Live Account slippage compared to sim or replay.

[GaryGuy]

After I traded live last friday I compared the fills with my replay results and found slippage on average of 2 ticks on the entry and 7 ticks on the exit. On CL this is an additional $90/trade lower than the results shown on replay.

What techniques have the rest of you used to either reduce this slippage or remove it?

Note: I am trading Renko Charts (friday trading 6 tick bricks), trying to buy or sell at the close of the trigger candle and trying to close long or short at the exit trigger candle.

Thanks for any help you can provide.
Gary

[Mr_You]

From what I've read Renko charts are not the best for automated trading. At a minimum your Renko strategy should be executing on a 1 minute or 1 range data series for a more reasonable backtest result.

Consider minute, tick, or range data series. And make sure at a minimum your trade executions execute against a very low time frame like 1 minute or 1 range.

[gain247]

Gary, to avoid slippage, I use only StopLimit or Limit orders when trading CL. Ie, when going long, you place in advance a BuyStopLimit entry order. Or if your system places order at or after the signal, you can just place Buy Limit at the signal price when going long. I get filled over 90% of the time (under 5 contracts), but if you trade strong breakouts or much bigger size, the % of filled orders will be smaller.

[GaryGuy]

@ Mr_You, thank you for your ideas. I am using Renko charts to avoid the churn of very short term charts. When brick is formed, the price can go almost one brick above and one brick below before the new one is created.. on 6 tick bricks this it a total swing of 18 ticks. ($180.00 on CL) Renko bricks show fast moving trends as a rapid creation of candles in one direction. I am looking for a way to auto trade RENKO charts and win at this time. (and Yes, I use all time period charts for other strategies).

[GaryGuy]

@Gain247, Thanks for your advice and for help on using Limit and Stop Limit orders to get better fills when auto trading. (you are auto trading right?) I can understand how to set a limit order to buy at my trigger price and if I don't get the trade... that is the way it goes. On Exit though.. I can't really put in a desirable limit order as once my trigger is hit I really need to be out of the trade immediately. I will try some experiments and see what happens using both limit and stop limit orders.

At this time I am only using 1 contract.. so no legging in or phasing out. I would be quite happy with 90% fills on the entry at my trigger price... now I just need to figure out what to do about my exits.