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Denis,
I use both Fox (Kevin Riordan) and Striker (Walter Galwas) to run my systems
for me and have done a few exercises on slippage because I believe that the
issue for me is whether the systems meet their theoretical performance.
I have found both to be excellent and that there has been almost as much
positive slippage as negative. Walter will actually work for positive
slippage if the market is on the edge or reversal when it hits the stop (I
guess the pit guys can see it :-))
I'm trading 16 to 20 different contracts with each so I get a good feel even
down to low volume contracts like LU, O and RR. In RR I have seen an
opening price and then got the worst price of the day but thats the downside
of these ultralow volume contracts and both brokers warned me of the risk
... trouble is they do trend beautifully after the slippage and I've tested
my systems with this worst case in view.
Walter has also got money back from both cattle and beanoil brokers when we
agreed there performance wasnt good.
Kevin has a harder time as he trades a system where the opening price
determines the action so there is thinking time involved but I still get
very good fills.
I looked around pretty hard before I signed them up and I talked to system
developers about their experience first. I chose to have two brokers so
that one can fill the others shoes if problems develop of a technical or
business nature. I'd recommend them both
John
Disclaimer: Just a customer of both although Walter will give me a small
benefit if you use his service and mention I recommended you.
----- Original Message -----
From: <tszz@xxxxxxxxx>
To: <Omega-list@xxxxxxxxxx>
Sent: Friday, March 08, 2002 2:32 AM
Subject: "System Brokers" and Slow Fills
Hi,
(Don't hesitate to react to this message and post your opinion !)
I believe that "system brokers" (like TradeCenter, Striker...)
don't give the best fills to their customers and that they don't
make money on commissions but on "ripped" fills.
Volatility can be huge during the first minutes of the open...
Don't you think that some brokers could take advantage of that for
they own account, telling you they placed the order to buy at 10
when in fact they bought it at 9.5... giving you, each time, the
worst execution, with the difference in their pocket ? Is it
possible ? Don't you think that they are ways/tricks to do that
or am I too cautious ? There are so many stories of scams in the
brokerage industry...
Some people think : "The brokers all place stop orders based on
the opening price plus or minus the system-directed number of
points. If the number of points to be added or subtracted from the
open that day is relatively small, a good broker will make sure of
his opening price before placing the stop order. It is far worse to
reverse position erroneously than to reverse correctly, but at a
little worse price"
Questions : - Where can I find this "good broker" ?
- How can I check his "work" ?
Some others think : "The MOO and MOC are good orders, but you had
better be ready to get "ripped" on the fill. This order follows the
rules for a Market Order, but is done within the opening or closing
"Range" of the day's trading. The range is determined by the
Clearing House and will be the low and high prices that were met
during the period of time known as the opening or closing. The time
period varies from trading floor to trading floor and could be as
short as 10 seconds or as long as a minute. If you have an order to
buy or sell on the open, you are entitled to a fill within the range
that was set in that opening period. Same goes for the close. Keep
in mind that you can't argue about the fill price so long as it falls
within that range. Also keep in mind that in cases of fast markets
and limit moves, you may not even receive a fill price. My own
experience tells me to use these orders very sparingly and you must
REALLY know the behavior of the trading floor for the contract you
are trading"
Questions : - Where can I find PRECISE information about the opening
and closing ranges of the exchanges ? (if you have a link
please post it)
- This person says ranges are determined by Clearing Houses.
Is it true ? Aren't they fixed by the exchanges ??
Thank you,
Denis
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