I have deployed a couple option strategies on Streak and have been monitoring throughout the day. Couple questions and doubts:
There seems to be a delay of atleast 18-20 second from the open of the execution candle to order executing. For eg - if I have my strategy set for 10.30 , 1 min candle , the 10.31 open candle is considered for triggering and the log shows it being executed at 10:31 & 18 secs. Is that standard for all trades on Streak ?
If that’s the standard , does it happen with SL trades as well ? If SL is supposed to trigger at Rs 10 will the execution take 18 secs after triggering ?
Here’s the tradelog attached. Trade hit SL. It was entered at 125 with 45% SL which comes to 181.25. But it was executed at 192.70 . The slippage is 11.45 pts from the trigger value. A slippage of 6.3% which is unprecedented and will turn any profitable strategy into loss making one. I expect slippage which is natural, but for an ATM or near OTM which is very liquid a slippage of 1% is understandable. Maximum 2% which is most that is considered the worst possible situation. Manually i would have gotten lesser slippage than this and the lots are just 10.
I would appreciate some inputs from the Streak team on this and if this 6% slippage is how it’ll be on Streak to make an informed choice.
I havent used streak - but from my experience with algo trading I can tell you that the gap between SL and executed price can vary a lot. BN options are so volatile, 10% move within seconds happen every day. Infact execution based on ‘polling at regular intervals’ may not be such a bad thing, that way you may even have a chance with probabilities.
When I say slippage, I take into account the difference between SL price and actual execution price due to volatility.
If you set it in the system with SL, the downside could be that it will capture the first spike into the SL and get you out (and then immediate reversal kills if it happens). On the contrrary with a “polling at interval system” (which I think Streak is), you might or might not get the best price - but will have a better chance of escaping getting stopped out with the first peep into SL territory.
Hope that made sense. @Streak will be of further assistance
This slippage is from today’s nifty expiry. Slippage of 11% in SL price and price of execution. The SL is at 85% . (Can only upload one image because its a new account)
I have been using Streak for quite a while now and this does not seem to be an issue with Streak. When you say 11% I’m guessing it is only a few points from your SL value because the entry price is just 22 rs.
If you say the SL is 85%, the SL comes to approx. 41.5 and you got an alert at 45.9. This is just around 4 points of difference and it’s very common on expiry days. If you go to the chart and the candle at which you got the alert you will notice that there was a big spike in volume and also the price has quickly gone past your sl value.
Could be, havent tried other platforms yet. But on zerodha the slippage isnt as bad. That is why I was keen to know if there’s a 18-20 sec delay between trigger and execution which could be the reason for this. @Streak if the team could help
Even for higher SLs the slippage is of 10-15 points. so the range becomes 6-15% is what I have experienced so far. I am keen to know if the time between trigger & execution which seems to be around 18 secs , is it the same for same SLs are triggered. hoping @Streak team helps
In Streak the alerts are sent based on OHLC data of the candle, which is possible only at the close of the candle. As soon as the candle closes, the OHLC data is used for calculating the indicators after which your condition (Entry and Exit) is matched, once your condition is met, a signal is sent to your system.
However, at certain times a candle close price that you see on the chart changes after some time, this happens because ticks are consolidated even after the candle has formed. Hence alert in Streak gets generated after 10 seconds of candle close so that it considers consolidated data. This is to make sure that no false alerts are being sent.
Moreover, your trigger delivery is dependent on the ISP and device. We are continuously working on reducing the latency. However, on average, you should be getting an alert in 15-30 seconds.
The above explanation was with regard to the Entry and Exit conditions. Whereas, when it comes to SL and TP, these are checked on an LTP basis and not on candle closing. This means that whenever a tick is received above or below the SL/TP values (as per your position) Streak will immediately send an alert to the user.
In the latest order log shared by you (NIFTY23N0919450PE), we can notice that your Sell entry was triggered at 12:31:19 i.e. 19 seconds after the closing of the candle. However, for your Stop loss alert, as mentioned earlier, the SL and TP are checked on an LTP basis, thus, Streak generated a trigger as soon as the price crossed above your SL level i.e. 41.53 (as per details shared) at 13:42:03, but due to high volatility and swift movement in price by the time you received the trigger the prices went up and the trigger price was at 45.
The same can be noticed in the screenshot of the chart shared by @Hritik_Roshan
Hi @Vasu_patel ! Appreciate the detailed reply. I’m clearly wrt the Entry exit conditions based on the explanation that you have shared. That can be adjusted .
However I am still not clear about the SL part. As you said that even though it triggered at 41.53… due to the swift movement it was executed at 45. Same thing happened with other SLs as well. BN screenshot that I have attached.
I am keen to know if there’s a delay between the trigger and execution that happens when a SL is triggered. Does this lead to execution far from the price or is it just the general movement of price leading to the trigger of the SL…
Would it be the same if I had directly placed this SL on zerodha or because there could be slight delay in execution here that slippage is higher
Is there a way to overcome such a slippage, maybe by SL - Limit or would that lead to more losses ?
and not limited to streak