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No. of Recommendations: 8
platykurtic,

How are you defining slippage? If you are defining it as your trade price versus the closing price, then of course your "slippage" on MOC trades is going to be tiny (and I don't know why it wouldn't always be zero). With MOC orders, you aren't eliminating your trade's price impact, you're simply hiding it from yourself. When you submit a MOC order to buy a thinly traded stock, the closing price will be higher than it would have been had you not placed the order, and that difference is your true slippage. Unfortunately there's no way to know what that slippage is.

If you're defining slippage in terms of your trade price versus the last trade price as of your order entry time, then that would be a more meaningful approximation of slippage, if averaged over a large enough number of trades. However, it would be a lot more work and require good tick data. This obviously isn't how you're defining your slippage, because your maximum for the year by this definition would be orders of magnitude larger than what you've quoted.

Robbie Geary
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