Spreads at non-MT4 crims

[garyfritz]

Most of us here use Empty4-based crims for our trading. But there is a big non-Empty4 world out there too.

I use Tradestation. Interactive Brokers (IB) is another big one. On an email list somebody posted a study of IB's spreads: he looked at 3 months of data, sampled the spread (inside ask - inside bid) at the close of each 5 minutes, and averaged the samples over the whole period. So e.g. the 01:15 slot contains the average value of the spread at 01:15 for 3 months.

I thought this was a useful data point so I did the same study for Tradestation. I tried to duplicate his procedure as closely as possible:

* TS doesn't support some of the exotic pairs he included, so I studied only the pairs including AUD CAD CHF EUR GBP JPY NZD USD
* He used 3 months of data; I used 1/18/12 - 3/16/12 to avoid the holiday period
* I sampled the spreads every 5 minutes (using the spread at the close of the 5-min bar) and calculated the average spread for each 5min sample over the period -- I think that matches what he did

I also added a "Difference" sheet to compare the spreads between IB and TS (comparing each 5min slot, and summarizing the simple average of the spread across the whole day), and added a comparative graph in the "Graph" sheet. FYI that summary graph is:

IB-TS spreads.png

IB and TS are fairly comparable, with IB doing better on some pairs and TS doing better on others. I noticed, however, that IB seems to do better in the more major pairs (EURUSD, USDJPY, etc) while TS tended to do better on secondary pairs (GBPNZD, EURCAD, AUDNZD).

HOWEVER, note that IB charges 0.2 pip (roughly $0.20 per mini lot, $2.00 per full lot, minimum $2.50) per trade, while TS has no commissions. So I believe you would have to shift the zero line in the graph down 0.2 pips to approximate the IB commission costs, and more if you don't typically trade a full standard lot or more. If you do that, TS ends up looking noticeably better than IB. Which surprises me quite a bit!

Here are the spreads for the main pairs. These are the *average* spreads across 24 hours.

IB-TS spreadS.gif

I don't think you can do this study in Empty4, but I thought folks might find it interesting...
Gary

[AnotherBrian]

I use PFGBest - they charge by commission like a typical broker, not the spread. I like this better.
It works out to be just about the same as Interactive Brokers.

[garyfritz]

Brian, I also use PFG. I've traded the same system on both PFG and TS, and tracked the fills. My system enters on a stop and exits on either a limit or a stop. (Or manually with a market order, at end of day.) I tracked the round-trip slippage, defined as the difference between "what prices TS wanted to trade at" and "where I actually got filled," on entry & exit.

In about 200 trades over the past year, TS averaged just about 1.0 pips slippage. That includes all terrible fills from price spikes, goofs on manual end-of-day exits, etc. In about 60 trades since February, PFG averaged 0.6 pips slip. So PFG filled 0.4 pips better, BUT PFG charges about $0.60 - $0.75 commission per mini, per entry & exit round turn.

So PFG filled a bit better, but TS ended up better because they don't charge commission.

Actually PFG looks a bit worse than that. I traded the same trades on both crims for about 50 trades. On those 50 common trades, TS slipped 0.4, while PFG slipped 0.5 AND charged commission. So on the same trades, TS comes out quite a bit ahead. Pity they don't take Empty4.

[jtrade]

Thanks for sharing your research, Gary.

I recently reopened my Tradestation Forex account because (a) even though I've traded via IB for years, this has always been via NinjaTrader and I want to add swing trades which sometimes don't reset correctly in Ninja after IB's daily shutdown & (b) I liked the sound of the new Chart Trading module in TS. And of course TS FX is now completely free (it all helps).

TS Chart Trading fits the bill, although it is not quite ready for prime time : the required fixes are in Update 10, now in beta (Update 8 is the latest out-of-beta build).

One day, I expect IB will upgrade their own chart trading in TWS charts, but at the moment this function is years behind TS, who in turn are still a long way behind Ninja... but with Update 10, TS will be quite good enough for swing trading imho.

Overall, I still feel both IB and Tradestation are FAR ahead of any Empty4 criminals (this comment based on anecdotal evidence only, I should add).

J.

Edit / PS : based on reports from close trader friends IF I wanted an Empty4 live broker, I would choose Dukascopy, and for a large, non-Empty4 retail account ($250k+), it would be Saxo Switzerland (separate account to Saxo's other locations) where institutional spreads are available on a commission model essentially the same as IB's.

[jtrade]

... TS comes out quite a bit ahead. Pity they don't take Empty4.

These guys make a bridge from Empty4 to IB, so it might also be poss to TS...

http://www.trade-commander.com/mtibbrid ... dge_en.htm