Slippage problems

Question regarding the slippage. Live simulation uses the fridays closing price as the price paid at monday. I have missed already painfully twice in a short time the upgoing stock because of too low limit order (price approximated by simulation) and have also paid way too much for stock plunging down immediately after opening. I use variable slippage but the opening price is usually much higher than the fridays closing price/price simulation uses.

Is there any way to avoid these problems? Fundamental data comes at saturday so monday is the best day to trade anyway.

What about using the IB algos such as VWAP and %Vol? More of a Monday average price. Test this against the average of hi + low plus a little slippage. Should be close.

I find that over-thinking it (i.e. it gapped up or down or is trading this way and that) harms the system. I wouldn’t go ‘all in’ first thing Monday morning though. If it is illiquid and you are getting the same signal as good number of other P123 users - you might be a victim of ‘collective slippage’ and not just your port.

Does fundamental data only update on the weekend? For example, if a company reports on Monday or Tuesday will it still not show up in fundamentals until Saturday? I googled and couldn’t find a hit, but I thought I’ve searched this before and understood fundamental data to potentially update daily as news comes out, but obviously I could be wrong.

If I go here, it indicates presently fundamental data is updated as of 12/19, so I was assuming new updates were being made daily, but perhaps not.


I thought live ports and screens were daily but simulations were ranked weekly. Maybe I am wrong.

That was my understanding also - that the live port fundamental data updated differently (daily), but that the backtest fundamental data updated weekly.

Thanks for fast answers! I can see that my live portofolios ranks get updated daily but the reconstitution and new recommendations are updated at the weekend. Even when my sell rules have been triggered based on rank theres no new selling recommendations

aawee, I’m not sure about this, and you many have tried this, but there is a menu option for “force weekly ranks” that you might change to “no” to see if it impacts model behavior. Also, I think if you want daily sell recommendations you’ll want to set rebalance to daily. I’m not sure if stop loss rules are outside of that or not but maybe.

Thanks, Ill test your suggestions! Just want to optimise the trading. Also to reply to Hemmerling, I use a foreign brokerage account. Costs are low but I compare it to IB. Thanks for help