Slippage [C2 Noob]

C2
1

Just in case you don’t end up reading the whole thread… tldr; the slippage was actually tiny, and I was just reading the dashboard wrong.

Hi all! I’m new to C2 - I really like the concept and the community so far.

I just got autotrade set up against my Interactive Brokers account, and subscribed to “Smart Volatility Margin”. Yesterday’s trades were autosynced. Today is the first trading day where I’m getting live trading signals.

What I noticed on today’s trade was the huge slippage, where the leader sold short at a basis of 34, and my sales went through at 30. With the price now at 31, this means the trade was profitable for the trade leader, and a loss for me, the subscriber.

1/ Is this a frequent occurrence at C2?
2/ Is there a way to reduce this? (A different brokerage, for example.)
3/ How would I anticipate the performance of the strategy after slippage (apart from subscribing to the strategy with real money)?
3a/ Perhaps I can set up a paper trading account with IB and autotrade with that for a while… I wonder if that would give some useful signal on slippage?
3b/ Are there any metrics / measures that C2 maintains, regarding performance of the actual subscriber accounts?

2

Hi, Joe … I am not 100% sure, but I think you may be mis-interpreting the basis price the strategy actually received.

Assuming you are talking about the short VXX position currently owned by the strategy, please note that the position was created long ago, and the strategy has legged into and out of the trade for quite some time (i.e. long before you “joined” the strategy).

Thus the “basis” you see on the Open Positions screen for the strategy Model Account represents the VWAP of all the entries combined.

You can make this more obvious by clicking the “Show Order Details” button, which “uncollapses” the average position into all the different legs.

This allows you to see a more meaningful measurement of slippage. You can compare the specific signal you traded yesterday in your own account, and compare your fill price with the fill price of the strategy.

When I do this I see that Signal 129467340 (STO 200 VXX) was filled in the C2 Model Account at 31.498

In your personal brokerage account it was filled at 31.502. That’s slippage of less than .01 (less than one cent).

In fact, it will be quite unusual for AutoTraders to receive a fill very much different than the fill price you see in a Model Account track record. This is because C2 uses actual AutoTrader fill prices, as reported by real-life brokers, as the basis for the Model Account hypothetical fill.

So, sure, it is possible that in some cases, your account may differ from the majority of other traders, but usually this is not the case, and slippage (as defined as the difference between your personal results and the strategy results) will be minimal.

This isn’t meant to suggest there isn’t slippage, or latency – just that you can have pretty high confidence that your own results will very closely mirror the strategy results, and vice-versa.

2020-06-10_11-14-51
2020-06-10_11-14-511422×301 46 KB

2 Likes
3

Yep I was misinterpreting the basis price.

I looked at “Show Order Details” on the strategy page as you suggested. I can see that the orders in my brokerage account DO match very closely with the orders on the strategy page.

So your explanation checks out 100%, and resolves all my concerns. Thanks a bunch for taking the time to investigate and write a detailed response :slight_smile:

3 Likes