I have been with FolioFN for a long time. I like that you can create “Folios”, which makes tracking various strategies and ports very simple. I have tracked the slippage on some of my Micro Cap strategies and the fills seem slightly better than the assumptions built into P123’s “various” slippage. I know IB has VWAP which could improve things, but I’m not sure it’s worth the trouble to move, and further pay even the $.005 / share commission. My strategies are at most 300% turnover.
Just curious, if people using FolioFN are happy with lower liquidity executions. Thanks.
I do think that Fidelity has less slippage for their market orders. Whether Fidelity is better for you would, of course, depend on the size of your order (because of the commissions). I do think if your orders are above a few thousand dollars or so I would dump FolioInvesting.
I looked at this in a lot of different ways including making the same orders with both brokers at the same time and comparing for a while. The savings is significant for me. There is some good data online.
I like the “Folios” too. And in fact I “paper trade” with a small amount at FolioInvesting and import the transactions. Very convinient.
Of course, my universe is different than yours. But for my universe a VWAP order is not a lot better than a market order until the size of the order is above about $15,000 to $20,000.
And of course, I like that Window trades do not require that you sell some orders before you have a enough cash for your buys. I still moved to Fidelity. The slippage really is better.
BTW, IB is not particularly good for market orders either (with regard to slippage). Again, a lot of good stuff online.
As many know, I too have been a long-time Folio user.
From mid-2010 through nid-2015, in a joint venture between p123 and Forbes, I published the Forbes Low Pried Stock report. I also bought the stocks, meaning I traded through Folio a 40 stock port rebalanced monthly. My experience has been that “slippage” netted to about zero. Sometimes I transacted at better prices than the database assumed. Other times I got less favorable prices. Over the 60 trades (12 for each of 5 years), I saw no meaningful issue and felt that intraday market moves (differences between market pricers at Folio’s 11 AM execution time versus the ritualistic start or close prices assumed in the database) accounted for much if not all of the variation.
I’ve long believed that the best way to address execution issues is to incorporate reasonable liquidity rules into your model. If your orders disrupt the market, you’re likely to suffer far more than slippage models assume. If you’re sensible about liquidity and keep your orders proportional to what the stock can be expected to handle, you should be fine, whether at Folio or elsewhere.
Thanks Marc. What do you consider reasonable liquidity? My microcap model can go as low as $100k traded per day. FolioFN often doesn’t accept window orders on really low liquidity stocks, so that might be the answer. I only bring this up as I don’t want to leave money on the table if I can get much better execution through something like VWAP at IB.
100k may be a bit dicey. You’ll need to study stock trading patterns. Much depends on how big you lots are and on how patient you’ll be some hog of a trader is overwhelming the market. When you go this small, there really is no clear answer and your ultimate solution may require enough diversification to allow you to withstand crazy hits that occurs from time for whatever reason. (My port size was 40 names.)
That is an excellent nuanced answer, IMHO. One advantage to VWAP is that usually 100 lots is traded at a time. So any “crazy hits” will be small and spread out. And the trade can be cancelled if the market moves too far against you.
VWAP’s main advantage will be to keep the trades at the NBBO (or better) for the most part. But you could move the bid or the ask through the day if you trade a large enough volume.
Complications with the different brokers comes with questions about order price improvement (largely from dark pools). And questions about rebates and whether you want to make or take liquidity. And whether the order might not get filled if you make liquidity. And the commissions play a large role for lower priced stocks at IB.
SuPirate1080 has experience with this at IB and I leave it to him and others to go into further depth about the specifics at IB–as well as Marc with his excellent points.