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  1. How do HFT strategies combat slippage

    By full spread, do you mean when bid is 20.92, ask is 20.94, you're paying the full 0.02 for immediate execution? I thought it would only be 0.01...
    Post by: traderzhang, Dec 14, 2023 in forum: Strategy Building

  2. How do HFT strategies combat slippage

    So normally you'd expect to lose the entire spread on live trades compared to backtesting?
    Post by: traderzhang, Dec 14, 2023 in forum: Strategy Building

  3. How do HFT strategies combat slippage

    How would you accomplish this?
    Post by: traderzhang, Dec 14, 2023 in forum: Strategy Building

  4. Latency and Stop limit orders

    thanks for your insight. What kind of slippage would you expect for a stop limit order in these situations? Would the order just not fill or is it...
    Post by: traderzhang, Dec 12, 2023 in forum: Order Execution

  5. Latency and Stop limit orders

    I'm assuming latency is irrelevant for regular non marketable limit orders. But what about stop limit orders? When price hits my stop, I need that...
    Thread by: traderzhang, Dec 12, 2023, 4 replies, in forum: Order Execution

  6. Please help me understand bid/ask and limit orders

    for a very liquid stock like NVDA, if you submit a limit order at the "last" price (outside the first 10 minutes), what are the chances it won't...
    Post by: traderzhang, Dec 11, 2023 in forum: Order Execution

  7. Please help me understand bid/ask and limit orders

    So why would people submit market orders when they can get limit orders filled at a better price?
    Post by: traderzhang, Dec 11, 2023 in forum: Order Execution

  8. Please help me understand bid/ask and limit orders

    This is how I understand it. Please correct me where I'm wrong. When I place a buy limit order, it goes on the order books as a bid. When I place...
    Thread by: traderzhang, Dec 11, 2023, 11 replies, in forum: Order Execution

  9. How do HFT strategies combat slippage

    I'm unable to backtest with bid and ask, so the expected price, according to my backtest would be the last price. If I get filled at the bid or...
    Post by: traderzhang, Dec 11, 2023 in forum: Strategy Building

  10. How do HFT strategies combat slippage

    I'm actually using limit orders in my strategy backtests, so providing liquidity, but in real life, I assumed (maybe incorrectly) that I'd have to...
    Post by: traderzhang, Dec 9, 2023 in forum: Strategy Building

  11. How do HFT strategies combat slippage

    The tickers I tested are all extremely liquid (TSLA, NVDA, RIVN, PLTR, etc). Would slippage be a realistic concern for these types of stocks?...
    Post by: traderzhang, Dec 9, 2023 in forum: Strategy Building

  12. How do HFT strategies combat slippage

    I tested my strategy on the top 200 stocks from the S&P 500, over 20 million trades tested since Jan 2000, or whatever year the ticker was first...
    Thread by: traderzhang, Dec 9, 2023, 53 replies, in forum: Strategy Building

  13. Trading the Open

    Thanks Robert. Just to be clear, is LS DMA or direct sponsored access?
    Post by: traderzhang, Oct 11, 2023 in forum: Retail Brokers

  14. Trading the Open

    When closing my positions, I'm looking for direct access to nasdaq and nyse. Does LS offer direct access to both these exchanges?
    Post by: traderzhang, Oct 11, 2023 in forum: Retail Brokers

  15. Trading the Open

    So in that case everyone should have the same execution speed? Would LS be any faster fill than ToS if all orders are at the exchange already at...
    Post by: traderzhang, Oct 9, 2023 in forum: Retail Brokers

  16. Trading the Open

    I want to execute long and short stock positions right at market open. Currently using ToS, and the experience has been less than ideal. I see now...
    Thread by: traderzhang, Oct 9, 2023, 8 replies, in forum: Retail Brokers
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