Frustrated with slippage in paper trading. I modeled around 5 and even 10 points of MNQ slippage, not 80. Will be checking 4-tuple log entries at close and reviewing ticket history with IBKR, but pretty discouraged getting a push from my bot and seeing actual fills from IBKR with massive slippage. If anyone has any experience with improving slippage I’d love to hear it. Infrastructure, python script firing orders via IBKR API.
Has anybody ever made a failed breakdown bot? If you’re familiar with the formation you know there are a few triggers to go long (nobody explains this better than Adam Mancini and his Trade Companion Substack). One of the triggers is “acceptance” following the recovery of a low (e.g. the failed breakdown).
I’ve got acceptance via the non-acceptance protocol (price recovers a significant low after a flush and stays above for several minutes) figured out in my algorithm, but the other acceptance protocol (price recovering a significant then trying to sell at or above the significant low before pushing back up) is really bedeviling me. Anybody ever done some work on this? I’m working with python.