It would be great to have these two charts, as well as a data download for the charts, for all my live traded portfolios using live TRADE data from interactive brokers.
chart of total slippage for the portfolio how it developes over time
chart of total slippage% for the portfolio how it developes over time

I would like to propose following slippage definition:

slippage = (actual fill price via TRADE on Interactive brokers - Previous Close) * number of shares; for Sell order
slippage = -(actual fill price via TRADE on Interactive brokers - Previous Close) * number of shares; for Buy order

slippage% = (actual fill price via TRADE on Interactive brokers - Previous Close) * number of shares / Previous Close; for Sell order
slippage% = -(actual fill price via TRADE on Interactive brokers - Previous Close) * number of shares / Previous Close; for Buy order

total slippage = sum of slippage over all trades
total trade volue = sum of (number of shares per trade * Previous Close ) over all trades
total slippage% = total slippage / total trade volume

So basically I define the PreviousClose as the "zero slippage benchmark"

It would be great to have that done automatically.
At the moment I run two idential portfolios one traded via TRADE and one identical slippage monitoring portfolio with 0% slippage.
But I have to keep updating the number of shares on the slippage monitoring portfolio, to stay identical with the TRADED portfolio.
Plus I have to generate the charts for the slippage difference manually.
Results: Total score: 34 , # of Votes: 10 , Average: 3.4
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Requested by: tobiasberr
On date: 07/13/17
Category: Portfolio

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