Re: [問題] 認真請教一下大家滑價大概都多少

看板Option (期貨與選擇權)作者ifoo (天空之城)時間16年前 (2009/08/28 18:37)推噓6(6推 0噓 8→)

留言14則, 10人參與討論串2/2 (看更多)

我想這不全然是看盤軟體的問題因為09:15-09:16這一分鐘內出現近5500口的天量你沒看錯,是5500口,大部分看盤軟體都低估了因為資料量太快,期交所塞車,資料源來不及接收在09:15:00成交筆數26筆 09:15:01成交筆數29筆 09:15:02成交筆數 7筆 09:15:03成交筆數104筆你有沒有發現在02秒的時候成交筆數只剩7筆表示連期交所系統都嚴重塞車,單子丟不進去當09:15:00 的K bar結束才產生訊號的程式交易除非你的自動下單非常快,可以搶先在09:15:01內下單或非常好運,成為02秒七筆單的其中一筆不然大部分散戶單都會成交在03秒所以你也不用自怨自哀了很多人都跟你一樣只是你運氣稍為差了點,剛好成交在03秒的最高價6745 需要檢討的是期交所的系統,網路或硬體都需要擴充了等投信代操期貨規模越大關鍵價位產生的滑價會嚇死人貼一下期交所的成交明細,供您參考,因為大部分券商的都是錯的..XD 交易日期大台月份時間價位分量 20090828,TX ,200909 ,09150000,6730,6,-,- 20090828,TX ,200909 ,09150000,6730,4,-,- 20090828,TX ,200909 ,09150000,6730,2,-,- 20090828,TX ,200909 ,09150000,6731,2,-,- 20090828,TX ,200909 ,09150000,6731,2,-,- 20090828,TX ,200909 ,09150000,6732,2,-,- 20090828,TX ,200909 ,09150000,6732,2,-,- 20090828,TX ,200909 ,09150000,6732,12,-,- 20090828,TX ,200909 ,09150000,6731,4,-,- 20090828,TX ,200909 ,09150000,6731,6,-,- 20090828,TX ,200909 ,09150000,6731,2,-,- 20090828,TX ,200909 ,09150000,6731,2,-,- 20090828,TX ,200909 ,09150000,6731,4,-,- 20090828,TX ,200909 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,09150500,6737,2,-,- 20090828,TX ,200909 ,09150500,6737,2,-,- 20090828,TX ,200909 ,09150500,6749,2,-,- 20090828,TX ,200909 ,09150500,6737,2,-,- 20090828,TX ,200909 ,09150500,6737,4,-,- 20090828,TX ,200909 ,09150500,6746,2,-,- 20090828,TX ,200909 ,09150500,6741,2,-,- 20090828,TX ,200909 ,09150500,6739,2,-,- 20090828,TX ,200909 ,09150500,6739,10,-,- 20090828,TX ,200909 ,09150500,6739,6,-,- 20090828,TX ,200909 ,09150500,6740,2,-,- 20090828,TX ,200909 ,09150500,6746,2,-,- 20090828,TX ,200909 ,09150500,6746,2,-,- 20090828,TX ,200909 ,09150500,6746,2,-,- 20090828,TX ,200909 ,09150500,6748,2,-,- 20090828,TX ,200909 ,09150500,6749,6,-,- 20090828,TX ,200909 ,09150500,6749,10,-,- 20090828,TX ,200909 ,09150500,6738,4,-,- 20090828,TX ,200909 ,09150500,6737,2,-,- 20090828,TX ,200909 ,09150500,6749,6,-,- 20090828,TX ,200909 ,09150500,6749,2,-,- ※ 引述《sen16888 ($am)》之銘言： : 板上前輩們, : 如題, 小弟最近換到台証下單 : 今天早上9:10-9:15這隻五分鐘K收完 : 下一支開出時出現買進的訊號 : 看下單機的log是在9:15:02下單下單指令是用buy next bar at market : 券商系統看的log是9:15:03成交成交價6745 : 買進訊號的K棒開盤價看HTS是6731... : 小弟誠心請教大家幾個問題: : 1. 是否最近滑價都比較嚴重? 大概幾點呢?? : 2. 有可能是券商系統問題嗎? : 3. 在同間期貨商開戶, 直接找期貨公司跟經由他們的證券商期貨部門, : 除了手續費以外下單/成交速度及優先順序會有差嗎?? : 小弟是只下一口市價單也只跑一個帳號一個策略 : 另當時電腦除了下單機跟HTS也只開防毒軟體 : 目前本身電腦相關配備是 cablemodem 3M下行的 : AMD 64 雙核心 2.6GHz, 4G RAM, : 下單機訊號擋我是放在虛擬硬碟讓他跑 : 電腦用了大概半年, 基本上魔獸特效全開都能跑很順... : 我也不諱言我是貪便宜手續費才換家的 : 原來一口大台是130 這邊是70 本以為一個月可以省至少兩千的 : 但是如果每次一口單都可以滑十幾點...科科... : 感謝大家看完我落落長的問題! -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 218.164.79.106