I trade and Nifty and SBI Futures in 5 minute timeframe. When I get a signal in Amibroker, it automatically generates an alert using Pi bridge in Zerodha Pi 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.
Orders which don’t get executed at our desired price ‘band’ can be just ignored. After all it is game of misses and hits. Flickers, spikes just increases bp. They are just like fast trains passing and not stopping a railway station. We can remain away of such trains for safety.
As far SBI is concerned, 15 minutes candle and one or two trades in a day can be a good idea. Price band for 15 minutes can be 30 paisa with 1 point as first target.
On the day like today, SBI was really a good,
First Trade - Long two points
I typically get 15 signals in a month. However most of the times the signal is generated the moment the stock starts moving aggressively in one direction, and that’s when the slippage come into play. Even if I enter the trade within 5 seconds of signal generation, the price would have moved by 0.5 - 1 points (translating to Rs.1500 - 3000 for a single lot), which is quite a big deal.
On the other hand, if I decide to leave the trade and not chase the price if the limit price is not hit, more than 80% such trades end up profitable. In other words, when the price starts moving violently in a direction, it goes a long way with momentum; thereby a profitable trade. If only 50% or so of such trades are profitable, it still makes sense to leave such trades. However having seen that such missed trades ending up profitable in most of the cases, it becomes a difficult decision to leave them.
Fully automatic trading is not allowed for retail in India. Any other suggestions which would help in reducing slippage?
It is not allowed for Retail. I believe it is allowed only for dealers. For Retail, you can do only semi-automated - like the way I have explained above.
Brother, if I were in your place, I would have immediately stopped using this software and learned some more reliable charting tool. If this is happening too frequent with some signaling software, then it is like chasing mirage.
My suggestion is to on to your own techniques. Do trial and error with as less as 1 number of share in Equity cash, then increase in cash only, once some profit is accumulated, with same strategy start “Observing” in future. Once you get used to the “naughtiness” of the script, then enter in future. This should take a month or so of patient observation and sitting.
One more thing, the use of SL can be seen for not only limiting loss but also letting play ground to the script for doing its naughty slippage up and down.
Regards, http://baalshastripandit.weebly.com
of the script, then enter in future. This should take a month or so of patient observation and sitting.