I have mentioned before on these boards that I am getting large fill price mismatches between the actual trades taken by my strat on Tradestation 9.5 and the reported fills on C2 (often up to $2-3 on the emini). Following an initial response from the helpdesk (and several calls), I have heard nothing. Does anyone else have this problem as they seem to indicate mine is a “corner case” though I’m not sure what that means? If you did have this problem, did you find a solution, for example, by migrating to Tradestation 10 (though that upgrade does itself have problems)? I have also seen software such as “StrategyXtender” marketed on these boards that is supposed to fix the problem. Anyone have experience with this or any other transmit software? Any help greatly appreciated!
Thanks
Nick
I use Tradestation 10 and it is normal to have 1 or 2 ticks slippage between the platform and the C2 fills even on the most liquid contract (ES). 2 ticks slippage is 25 USD. So 2-3 USD is nothing , you should be happy if you have only 2-3 USD mismatch. other contracts like NQ usually have even more ticks slippage than ES because of the speed it trades.
Now we are speaking only of mismatch when you have no autotraders. If you do have autotraders it could be even more because then the fills are the average of their real fills at their own brokers. So first it could be a mismatch/slippage from TS to C2 and then again from C2 to the followers actual brokerage fills. And it is their fills that matter the most. But i dont feel this is a problem beacause sometimes the slippage is a positive one so it is almost even out in longer periods of time even if the total is usually to your disadventage.
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Thanks for the response… just so we’re clear when I refer to 2-3 dollar slippage on ES, I am talking about 8-12 ticks (if each tick represents 25 cents). The slippage each time is about $100-150 in notional value per contract which is a fair amount if you’re looking for about a thousand dollars or so profit from each trade (as is the case with my strat). It can be the difference in the long run between profitability or not. Sounds like I’m getting a lot more slippage than you so perhaps my case is a “corner case” (aberration) as C2 have said.
Duly noted on your point re average fills across subscribers (am aware of it). I’m terrified to find out what subscribers’ fills will be when I’m already getting an 8-12 tick mismatch at C2! It’s kind of unworkable really…
Ok, then i understand. You wrote E-mini and not micro contracts. On E-mini one tick is 12,5 usd. It has happen that i get about 10 ticks slippage every now and then but some of them can be positive slipp. In any case average slippage should not be above around 5 ticks i would say meaning average in negative direction. Then you could be right it is something wrong. On the other hand micros do not have the same liquidity as E-mini yet so they probably slipp more.
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Noted. Seems to happen mainly on my exits rather than entries. I may see if the problem is helped by upgrading to TS 10 though I’m not too keen on it as the beta was very slow (may be better now). Would be great if C2 could answer my query on this though they seem to have lost interest at this point… we’ll see how we go
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