Posted: May 08, 2008 @ 09:13 AM             Msg. 2 of 27

Is there a further development on this matter?

I have continued to log orders, price and slippage, which support the cases where the current price before sending the order, and after is the same, however the order fills at different.

Posted: May 08, 2008 @ 09:24 AM             Msg. 4 of 27

I've addressed this issue to our quote provider, but didn't get anything back yet.

Posted: May 28, 2008 @ 02:40 PM             Msg. 6 of 27

I guess our problems continue. I assume that the multiple contract subscription slows down your system, as that’s the only thing that has changed on our side. With one contract price subscription we get about 40% slippage, which is still very high, but with 3 contracts, the data below shows that we get price decline of 1-2 ticks about 90%.

I’ve also logged the order-fill times which average to about 54ms. Note, our server is in a close proximity of yours, and pinging it comes back with 1ms average.

These are LIVE orders from today, in 5 out 6 there was a price slippage, of total 7 ticks:

LimitSell Order sent: Sell 1 6EM8 MKT Bid/Ask: 156.09/156.10 :20080528-12:40:06.582
OnOrderConfirmed OrderID: 8616278
5/28/2008 12:40:06 PM Sell 1 6EM8 MKT Sent
5/28/2008 12:40:06 PM Sell 1 6EM8 MKT Working
5/28/2008 12:40:06 PM Sell 1 6EM8 MKT Completed
5/28/2008 12:40:06 PM/20080528-12:40:06.629 Sell 1 6EM8 MKT Completed Fill:1@156.08
Slippage: 1 Tick


LimitSell Order sent: Sell 2 6BM8 MKT Bid/Ask: 197.75/197.76 :20080528-14:28:25.144
OnOrderConfirmed OrderID: 8622565
5/28/2008 2:28:24 PM Sell 2 6BM8 MKT Sent
5/28/2008 2:28:24 PM Sell 2 6BM8 MKT Working
5/28/2008 2:28:24 PM Sell 2 6BM8 MKT Completed
5/28/2008 2:28:24 PM/20080528-14:28:25.223 Sell 2 6BM8 MKT Completed Fill:1@197.75
5/28/2008 2:28:24 PM/20080528-14:28:25.223 Sell 2 6BM8 MKT Completed Fill:1@197.74
Slippage: 1 Tick


LimitBuy Order sent: Buy 2 6BM8 MKT Bid/Ask: 197.75/197.76 :20080528-15:00:25.879
OnOrderConfirmed OrderID: 8624777
5/28/2008 3:00:25 PM Buy 2 6BM8 MKT Sent
5/28/2008 3:00:25 PM Buy 2 6BM8 MKT Working
5/28/2008 3:00:25 PM Buy 2 6BM8 MKT Completed
5/28/2008 3:00:25 PM/20080528-15:00:25.910 Buy 2 6BM8 MKT Completed Fill:1@197.76
5/28/2008 3:00:25 PM/20080528-15:00:25.910 Buy 2 6BM8 MKT Completed Fill:1@197.77
Slippage: 1 Tick


LimitSell Order sent: Sell 2 6BM8 MKT Bid/Ask: 197.81/197.82 :20080528-16:36:02.269
OnOrderConfirmed OrderID: 8629462
5/28/2008 4:36:02 PM Sell 2 6BM8 MKT Sent
5/28/2008 4:36:02 PM Sell 2 6BM8 MKT Working
5/28/2008 4:36:02 PM Sell 2 6BM8 MKT Completed
5/28/2008 4:36:02 PM/20080528-16:36:02.301 Sell 2 6BM8 MKT Completed Fill:2@197.79
Slippage: 2 Ticks

LimitBuy Order sent: Buy 2 6BM8 MKT Bid/Ask: 197.78/197.79 :20080528-18:29:49.582
OnOrderConfirmed OrderID: 8634659
5/28/2008 6:29:49 PM Buy 2 6BM8 MKT Sent
5/28/2008 6:29:49 PM Buy 2 6BM8 MKT Working
5/28/2008 6:29:49 PM Buy 2 6BM8 MKT Completed
5/28/2008 6:29:49 PM/20080528-18:29:49.629 Buy 2 6BM8 MKT Completed Fill:2@197.81
Slippage: 2 Ticks


I look forward to your comments.

Posted: May 28, 2008 @ 03:06 PM             Msg. 8 of 27

Sorry, but I believe that I already explained that you can't measure slippage on throttled snapshots of the bid/ask data.

Or the problem is the 54ms fill time?

Please advise.

Posted: May 28, 2008 @ 03:37 PM             Msg. 10 of 27

Thanks for your fast reply as usual.

I understand the issue with the throttled data and I measure the slippage in a different way than originally. Here’s a possible scenario:

1. OnPriceChanged event rises, with OEC.API.Price of Bid/Ask: 197.78/197.79 on 20080528-18:29:49.582
2. Strategy triggers and sends orders within 10 microseconds
3. ~50ms later at 20080528-18:29:49.629 I receive a Fill for my Buy order at 197.81 (2 ticks higher)

I understand that slippage is part of the business, but about 90% of the time is just NOT NORMAL. I don’t know if the 54ms response is the issue, I believe it could be since, again, our server is only 1ms away from yours, also I understand that your server is less that 1ms away from the CME’s.

Posted: May 28, 2008 @ 03:55 PM             Msg. 12 of 27

I will research if there's any possibility to reduce the slippage.

Posted: May 29, 2008 @ 02:15 PM             Msg. 14 of 27

I observe the same issue today.

I strongly believe the problem is with your data. The more subscriptions I make the more often the slippage is. Another reasons for that I believe is the auto-subscription (in my case the Pit contracts). I'd subscribe for 3 quotes and in reality I get 6. That would delay the processing on your side, wouldn't it?

Any progress on your research? Can you provide a log with the quotes/trades around the time of my trades?

Sorry, but unless we resolve this we have no choice but to suspend live trading.