vendredi 12 août 2016

How to reduce slippage at entry and exit

I trade and Nifty and SBI Futures in 5 minute timeframe. When I get a signal in Amibroker, it automatically generates an alert in Zerodha Pi using a bridge with all the values filled up (quantity, price, order type etc.). Order type is Limit and price is the Close of last candle which generated the signal. I just need to press the Buy or Sell button in Pi to execute the order and this process takes around 5-7 seconds. If the market is moving too fast (typically SBI is high beta and often spikes), the limit price is not touched and the order does not get executed. I typically wait for a minute or two and if the price does not reach the limit price in this time, I execute the Market order instead of limit order.

This has been happening quite frequently in the last few days and I have lost more than 10k in just 6-7 trades of 1 lot of SBI only due to slippage (result of market moving too fast at the time of signal generation). Sometimes SBI moves by 1-2 points in just a minute (which translates to Rs.3000 to Rs.6000 for a single lot).

I have tried executing market orders only in the first place, but that too eats a lot from the gains and was not sustainable in the long run.

Is there a way to reduce this slippage? Any ideas would be greatly appreciated.


How to reduce slippage at entry and exit

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