s*****n
发帖数: 5488 | 1 slippage. IB条例上讲了它有程序和你对赌，吃的就是被打开的止损单和市价单。
es最小单位12.5
fidelity TD,当然他们用的是一家，倒霉的骑士，好的多。经常还来个空中相撞什么的。 |
|
W******r
发帖数: 789 | 2 1，要有edge。
2，要有一个明确的方法来利用这个edge。
3，控制好风险，绝对不能有infinite risk。
其中第1条是最关键也是最难的。只要找到了edge，其他问题总能解决。
另外补充一条，把time frame放长一点，尽量不做day trade，除非你能找到非常强的
intraday edge。理由有2：（1）现在intraday movement在HFT的干扰下已变得很难
predict，market condition很容易就改变。即使能找到intraday edge，market
condition变了也就失效了。longer time frame 相对来说 is more predictable。（2
）commission and slippage。 |
|
l*******z
发帖数: 4276 | 3 Buying single leg options even ATM in average only has 18% of chance of
breaking even (Yes, just breaking even, and yes, OTM has even lower chances)
. Good pricing can swing the odds in your favor, slightly. And all these
calculations exclude the hefty commissions and slippage.
So if you are for fun, sure, it's pretty much just like gamble, and actually
worse odds than playing in casino, but forget about making money.
Options trading is a very risky act, that more than 70% of traders blow out
t... 阅读全帖 |
|
c*******y
发帖数: 1630 | 4 is this tradable? I didn't get a chance to test, but you could find
a way to estimate slippage by your latency. OR there is a tricky way
to trade this and sorry, I don't want to share.
but here's a *BACKTEST* MA sample with such data. |
|
c*******y
发帖数: 1630 | 5 is this tradable? I didn't get a chance to test, but you could find
a way to estimate slippage by your latency. OR there is a tricky way
to trade this and sorry, I don't want to share.
but here's a *BACKTEST* MA sample with such data. |
|
a******1
发帖数: 2340 | 6 还有stop的slippage有时候很扯淡
called
not |
|
a******1
发帖数: 2340 | 7 关键是transaction cost
我之前做好多DT都是用的STOP ORDER，因为很多时候break out limit order根本fill
不上。但是这样子导致slippage很高，再加上没有太大胆量追高太久，所以弄了半天其
实没怎么赚钱，虽然都猜的比较对。而且会很累（当然也很刺激)。
总之没那工夫最好别DT |
|
o*****r
发帖数: 141 | 8 如果打电话委托券商交易，收费会很高。盘前盘后交易没有必要，交易量小，bid/ask
spread大，应避免slippage loss. |
|
o*****r
发帖数: 141 | 9 如果打电话委托券商交易，收费会很高。盘前盘后交易没有必要，交易量小，bid/ask
spread大，应避免slippage loss. |
|
I*****N
发帖数: 497 | 10 杠杆作用的ETF都有自然损耗。大家所谈的管理费，期货交割损耗等等都是一部分。
最主要的是VOLATILITY损耗。也叫beta slippage。
example：
你投资一块钱。今天涨25% 明天跌20%。你交易的那个东西的价格不变。
如果你用一倍的。
（1+0.25）X（1-0.2）=1 你不亏不赚。
如果你用2倍的，
（1+0.5）X（1-0.4）=0.9 你已经亏了10%。
如果你交易的那个东西的价格长期这样来回波动。最快那个东西的价格没变，你的资产
基本接近0了。 |
|
I*****N
发帖数: 497 | 11 UWTI的损耗是管理费，beta-slippage，和有时有的contango。
损耗也是慢慢体现的。绝不是突然的。
老听人说交割，交割个jb。你们知道交割是什么意思吗？
这些基金买的期货快到期就卖掉，然后再买远期的期货。这样永远都不会有期货那手上
到期。
交割就要去提取货物。 难道这些基金经理还去提取油存到仓库？ |
|
C******o
发帖数: 127 | 12 LOL 你不说我连limit都不知道，用了俩月的market，笑死了
估计多花了好几刀在slippage 上面 :P |
|
c*******y
发帖数: 1630 | 13 一万的账户，
ES 保证金day/night不一样，你亏到NAV不足maintenance margin的时候会
在IB触发强平
有些broker给你一天补足保证金
强平的时候，如果当时流动性还可以，你大概剩下的就是maintenance margin，
如果流动性很差，可能会有slippage，剩的略少点。。
每家broker的margin不一样，按5000算，你一手ES亏10000-5000，要100点，
当前ES的涨跌停是2173.00 / 1966.00，貌似是5%，超过100点。
理论最差的情况是最多一天被封在跌停板，然后连续几个跌停封死没机会出逃。
超过两个跌停板，你就得倒欠broker钱了。
能？ |
|
l*******z
发帖数: 4276 | 14 So why do I need to do the second part (OTM options)? I don't need to make
any money (inflation or not), I just need some real and frequent trades. The
OTM options are too commission and slippage consuming and very likely not
liquidable. |
|
d******e
发帖数: 2265 | 15 讨论这个问题的有点常识。
spy就是等于各个基金成绩的一个均值。考虑庸人居多。大概单看成绩spy能跑到66%左
右，一个std.
但是，一般基金，1是要收管理费，2是喜欢折腾，交易费用和slippage又至少吃掉1-2
个点。
算下来,spy多来3各点，长线跑赢95%都没问题。
这种问题是在是没有什么值得讨论的。
书上
85%。
还在 |
|
g****o
发帖数: 314 | 16 stop loss和profit target的比例在理想市场下应该有一个最佳值来获得最大回报。因
为价格概率分布肯定不是线性的。
如下假设：
1. 没有spread，slippage，交易费。
2. 价格正态分布。
3. 考略很多个持股。
设置0.7个sigma的利润，stop loss越小越好。这个很容易理解，死抗就行了，正太分
布，总会长回来的。
如果考虑交易成本等，stop loss就不是越小越好了，总体上profit target要大于stop
loss。只要考虑这个就可以在一个随机市场赚钱了（或者亏一点手续费）。
这个是不是cut loss and let profit run的数学原理呢？跟是不是趋势跟随本没有关
系。 |
|
k*****i
发帖数: 102 | 17
个人觉得有两点：
1. 心理因素：
real money -> fear, greed, pride, regret and depression :)
2. Slippages
特别是Day trade, 影响很大。 |
|
b******r
发帖数: 16603 | 18 不敢指点。你比我专业。
我只是按常理推断了一下。我不交易商品期货，对流动性和slippage 没有感觉，只是
觉得不应该比ETF差。也许是错的。
[在 qihuuqihuu (胡说胡话) 的大作中提到：]
:谢谢指点，自己过去交易过很多商品外汇金银的期货，总觉得烦。
:最近干脆就只搞ETF了，因为啥都有对应的ETF，特别是交易量大的ETF，很容易进出，
:逃命也容易。 |
|
发帖数: 1 | 19 TVIX这种垃圾就别拉出来。经常偏离nav， liquidity又差，各种slippage。真想trade
IV 用VXX。 |
|
E***r
发帖数: 1037 | 20 mini options 没什么人玩，流动性太差了，各种 slippage。
手续费多交10倍，恐怕 broker 更感兴趣吧？
我还巴不得 underlying 都是一千刀以上的呢，
可以少交易好多合同，省好多手续费。
其实50刀以下的股票我都很不情愿拿option来做了，
否则忙了半天全给 broker 打工了。 |
|
E***r
发帖数: 1037 | 21 我觉得操作不要太频繁，slippage就可以忽略。我一般做两三个月到期的，临近两三周
再关仓，or when 50-80% max profit is achieved, whichever comes first. 正股
linear payoff，我time不准出点。所以我只用期权time入点，不time出点。 |
|
E***r
发帖数: 1037 | 22 1.
leveraged ETP arbitrage 我一直在用，比如附图的例子，简单凑个整数取：
long 1 VOO short 2 SPXL
或者
long 3 SPY short 2 UPRO
适合在震荡市对leveraged ETP进行beta slippage的套利。
因为leveraged ETP是做daily rebalance的，如果是震荡市，
你只要选长一些的rebalance cycle，比如monthly，
就能够套利。
2.
但是在单边行情中是亏钱的（不管是单边涨还是单边跌，
3x的表现都比正股的3倍要好），也就是说对手盘盈利。
所以这类的套利策略的关键还是对震荡还是单边的判断。
3.
除了long/short之外，short/short也是常用的套利思路，
比如同时short 3x long和3x short，前提是震荡行情。
单边行情可以考虑long/long。
4.
马后炮看，最可靠的short/short pairs其实是 VXX/XIV，
本身无风险，赌的就是XIV爆仓。 |
|
E***r
发帖数: 1037 | 23 1.
leveraged ETP arbitrage 我一直在用，比如附图的例子，简单凑个整数取：
long 1 VOO short 2 SPXL
或者
long 3 SPY short 2 UPRO
适合在震荡市对leveraged ETP进行beta slippage的套利。
因为leveraged ETP是做daily rebalance的，如果是震荡市，
你只要选长一些的rebalance cycle，比如monthly，
就能够套利。
2.
但是在单边行情中是亏钱的（不管是单边涨还是单边跌，
3x的表现都比正股的3倍要好），也就是说对手盘盈利。
所以这类的套利策略的关键还是对震荡还是单边的判断。
3.
除了long/short之外，short/short也是常用的套利思路，
比如同时short 3x long和3x short，前提是震荡行情。
单边行情可以考虑long/long。
4.
马后炮看，最可靠的short/short pairs其实是 VXX/XIV，
本身无风险，赌的就是XIV爆仓。 |
|
|
E***r
发帖数: 1037 | 25 it is just the nature of fast moving markets.
after all, you cannot find a more liquid equity market elsewhere. i was
stopped more ticks away on NQ, but getting filled is still more important to
me.
IB has a stop protection order type for futures, and it may help reduce
slippage if you trade many contracts, but execution is not guaranteed. |
|
|
i******d
发帖数: 62 | 27 是的 "These two steps are usually executed simultaneously in order to reduce
slippage or profit erosion due to a change in the price of the underlying
asset." 但是如果你用robinhood，没有这个功能，只能先close然后再open
这是我的理解，你可以等大牛再确认下～ |
|
b*********u
发帖数: 19 | 28 就是用的robinhood。那看来就只能close了
: 是的 "These two steps are usually executed simultaneously in order to
reduce
: slippage or profit erosion due to a change in the price of the
underlying
: asset." 但是如果你用robinhood，没有这个功能，只能先close然后再open
: 这是我的理解，你可以等大牛再确认下～
|
|
E***r
发帖数: 1037 | 29 两者payoff等效
后者slippage相对大，一般不应考虑
另外如果赌单边突破，我不会买两边 |
|
E***r
发帖数: 1037 | 30 整数点OI集中，很正常
slippage相对小一些，更容易进出
跟股价过不过得去没啥关系 |
|
b*f
发帖数: 3154 | 31 MD，一点点的利都不给俺。把commission和slippage算上连把骨头都不剩的，这帮MM偷
看俺的程序～ |
|
J*****n
发帖数: 4859 | 32 【 以下文字转载自 JobHunting 讨论区 】
发信人: Jadeson (紫昂德帅), 信区: JobHunting
标 题: Need a Jr developer
发信站: BBS 未名空间站 (Thu Mar 12 11:18:29 2015, 美东)
Great C#.Net Developer position that is co-located with the Front Office
Securities business and is part of the global trading technology team. You
will have the opportunity to work on the real time trading platforms as well
as working closely with the traders to automate trading strategies. This
role is unique in that it is both Development and Ops focussed (on ... 阅读全帖 |
|
S*********g
发帖数: 5298 | 33 你trade的是buffet那个一股好几十万的股票吧。
$1.50/share的slippage，那就是150个tick啊，吓死人啊
就这样，你还能赚那么多，真是神迹啊
worked
go
if |
|
z**l
发帖数: 1192 | 34 New to this loop. Googled it, and found it on you tube, but the video is not
clear.
Problem I found this loop knot: The tag end always slip if I put pressure on
the loop.
It seems that the rapala loop knot is much better in reducing the slippage.
What do you guys think ? Any advantage of using the grey wolf loop ? |
|
f*********n
发帖数: 11154 | 35 这片短文不错，聊了一些从车内使用手枪的难题：
http://handgunsmag.com/tactics_training/shooting_from_a_car_110310/
......
For instance, while seated behind the wheel doing a right-handed,
strong-side draw, you can easily have the gun muzzle track across your
legs and an arm. "Stubbing" the gun muzzle in the steering wheel or
against steering-column levers is also easy to do. And this assumes you
have managed not to entangle hand, arm and handgun in the seat belt and
have avoided any drinks in the center-console cup hol... 阅读全帖 |
|
n*********e
发帖数: 25274 | 36 The roof, designed from waterproof Tenara fabric, takes about 10 minutes to
close.
But the total time for the transfer between outside and inside play can be
up to 45 minutes, with the air conditioning needing time to acclimatize to
indoor play.
The air con dries the grass to prevent slippage and injury.
The speed of the roof closing means that fans don't need to pack wet weather
gear and players don't need to rush off court. |
|
n******8
发帖数: 154 | 37 之前屯多了。现在自己的那瓶还一直都没用完。估计才用了十分一。
这个是化完妆之后保持妆的完整和延长时间的喷雾。
我当时买的时候，也是看很多专业彩妆师节目介绍才买的。效果很好！！妆也会贴服，
长时间不花！！
就是太大瓶。
这个全新的。买的时候是３９＋ｔａｘ。半年前买的。
现在２０＋shipping 走。
Visibly reduces the appearance of lines by keeping makeup from settling in
them. Innovative mist holds makeup by keeping the surface chilled and well
hydrated for hours avoiding drying and slippage. Six hygroscopic (water
attracting) moisturizers stop foundation, eye shadow, blush and concealer
from flaking or becoming powdery. Unique pigment disp |
|
m******e
发帖数: 1244 | 38 ☆─────────────────────────────────────☆
nostop08 (好好过日子) 于 (Fri Oct 9 19:07:20 2009, 美东) 提到:
之前屯多了。现在自己的那瓶还一直都没用完。估计才用了十分一。
这个是化完妆之后保持妆的完整和延长时间的喷雾。
我当时买的时候，也是看很多专业彩妆师节目介绍才买的。效果很好！！妆也会贴服，
长时间不花！！
就是太大瓶。
这个全新的。买的时候是３９＋ｔａｘ。半年前买的。
现在２０＋shipping 走。
Visibly reduces the appearance of lines by keeping makeup from settling in
them. Innovative mist holds makeup by keeping the surface chilled and well
hydrated for hours avoiding drying and slippage. Six hygroscopic (water
attracting) moisturizers sto |
|
c****t
发帖数: 19049 | 39 THE GHASTLY ORDEAL OF TIMOTHY CAVENDISH
One bright dusk, four, five, no, my God, six summers ago, I strolled along a
Greenwich
avenue of mature chestnuts and mock oranges in a state of grace. Those
Regency residences
number among London’s costliest properties, but should you ever inherit one
, dear Reader, sell
it, don’t live in it. Houses like these secrete some dark sorcery that
transforms their owners into
fruitcakes. One such victim, an ex-chief of Rhodesian police, had, on the
evening in qu... 阅读全帖 |
|
l*h
发帖数: 4124 | 40 http://www.travelandleisure.com/articles/digital-maps-skewed-ch
Why You Can't Trust GPS in China
by Geoff Manaugh February 26, 2016
Beijing China Map
39°54'11.8"N 116°23'29.0"E in Beijing Google Maps
Flights
Origin city or airport
Destination city or airport
Depart
DepartMar11
Add return
Add return date
Hold shift while selecting to open the accessible calendar.
1
0
0
Economy
Powered by
From Sites We Love
50 Signs You're a New York City Douchebag
Thrillist
Cetaphil: Why The Popular Cleanser Isn’... 阅读全帖 |
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J*****n
发帖数: 4859 | 41 【 以下文字转载自 JobHunting 讨论区 】
发信人: Jadeson (紫昂德帅), 信区: JobHunting
标 题: Need a Jr developer
发信站: BBS 未名空间站 (Thu Mar 12 11:18:29 2015, 美东)
Great C#.Net Developer position that is co-located with the Front Office
Securities business and is part of the global trading technology team. You
will have the opportunity to work on the real time trading platforms as well
as working closely with the traders to automate trading strategies. This
role is unique in that it is both Development and Ops focussed (on ... 阅读全帖 |
|
v*******e
发帖数: 11604 | 42 先申明一下，我不是业界大牛，只是因为感兴趣所以读了不少这个方面的文章。所以我
说的话都不一定是对的。
看了一批文章，总结这个故事最make sense。修改下不准确的地方。加reference。
细胞在G2的时候，由于各种因素造成DNA损坏（过氧化，辐射，端粒太短，某些致癌基
因表达导致SSB或者DSB等），引起P53表达，P53表达引起P21表达，P21的水平高到一定
程度就会把cyclin B1关进细胞核不出来【Krenning 2014】，加上其他P21影响的其他
途径（cdk1（次要）, RB（比前者重要）， 等）导致细胞跳过M，直接进入G1【Ye
2013, Johmura 2014】或者某些别的致癌基因表达，虽然没有DNA损坏，但是只要引起
DDR，也可以导致细胞跳过M，直接进入G1。或者，强制引起P53表达，或者强制P21表达
，或者什么别的原因导致细胞跳过M，直接进入G1
【Krenning 2014, Johmura 2014, Sussman 2014】。这样的细胞是4倍体，如果继续细
胞周期则会先8倍体然后分裂；因为多个centrosome或者其他原因会导致细胞染... 阅读全帖 |
|
s*****h
发帖数: 460 | 43 you need slope analysis program(PCSTABL code based), for instance, STABL for
Windows. both deep seated failure(bearing capacity), global failure(
slippage along weak layer) |
|
a***r
发帖数: 594 | 44 your paper trading needs to model market frictions reall well, including
slippage, market impact, costs, otherwise it means nothing. |
|
G*****3
发帖数: 71 | 45 It is interesting to see how the opinion difference relates to ID name.
For someone as big as Two Sigma, execution and slippage is not a huge
problem, as majority of they trade is high capacity, long term and high
margin trade. Most of the hedge fund like Two sigma uses broker provided
standard execution system.
As a arber, execution is the key to profitability, as their trading strategy
focuses on split of second market inefficiency. A lot of them have direct
access to the exchange.
It is not c |
|
|
v********l
发帖数: 7 | 47 能否请教一下slippage具体意思是?
我们现在用20年的russell 1000 验证一个策略。
每年使用的index都是前一年六月制定的
另外考虑了如Ticker Change, Company acquired等情况。 |
|
G*****3
发帖数: 71 | 48 Use in/out sample correctly and systematically should make it less fitting.
There are a few technique to estimate or eliminate slippage. The easiest
thing to do is always look at order book and calculate what is the best
price to execute market order on the particular second where trading signal
is generated. |
|
m********0
发帖数: 2717 | 49 Yes, but you need to report both your account and your spouse's account.
technically, it's impossible for the HUGE(half day?) slippage. |
|
