Equity Open Slippages

Hello traders,

I am guessing most equity systematic traders use open prices for performing back testing (except when strategy requires limit orders). However, my experience so far with getting open price fills in live market have been patchy at best. The pre-open auction does not have much depth so one risks moving the open price itself. And slippages of market order at open can easily run into 1-2% even for top 1/3rd liquid stocks.

  • What according to you is a realistic slippage assumption @open?
  • Do you have suggestions regarding how to minimize the slippage?
  • Is moving to more liquid stocks (e.g. top 10%) the only way to minimize impact?


@Streak would you able to guide him on his queries? I know this is not your area but just in case if you have any sort of basic guidelines.


  1. Realistic slippage depends on the instrument you trade, and is strongly correlated to the instruments ATR for the time frame you are trading in. As the slippage varies based on trend you can get price in/against your favour. To have a normalised slippage during entry/exit and keep verification simple, we assume in backtest the trade price of next candle open, as the condition meets on the signal candle close, and the gap b/w signal candle close and trade candle open is a guaranteed slippage.
  2. ⁠When deploying for live trading, you can use buffer feature to define you max slippage for the trade opportunity. So the limit order will be placed with a specific price of signal candle(OHLCV)+buffer limiting max slippage.
  3. ⁠Theoretically speaking higher liquidity means lower slippage, but depending on instruments such as Index options, that doesn’t hold true to to aggressive market participation, so best to observer the behavior and then decide for your self based on your trading profile.
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