Slip Point Control Strategy
The following risk control measures can be taken for different trading varieties:
- Algorithmic trading applications::
1. Enabling the TWAP/VWAP algorithm for large transactions
2. Setting the volume of a single order not to exceed the market depth of 5%
3. Minimum interval parameters (CTP recommends ≥ 500ms) - Plate Anchoring Technique::
- Used in tick-level strategiesdepth_processormodule (in software)
- Limit order strategy for realizing the latest price ± N steps - Slippage Compensation Mechanism::
- Setting up a dynamic slippage model in backtesting (seeBacktestingEngine.set_slippage())
- Reserve 0.1%-0.3% slippage space for live orders
Additional recommendations:
- Priority trading in highly liquid main contracts
- Avoid 30 minutes before the opening / 15 minutes before the closing of the market
- Multi-account decentralized order placement using vnpy_rpcservice
This answer comes from the articleVeighNa: a popular open source quantitative trading framework in ChinaThe
May not be reproduced without permission:AI productivity tools " How to avoid slippage risk in VeighNa live trading?
