Equity Open Slippages

Hello traders,

I am guessing most equity systematic traders use open prices for performing back testing (except when strategy requires limit orders). However, my experience so far with getting open price fills in live market have been patchy at best. The pre-open auction does not have much depth so one risks moving the open price itself. And slippages of market order at open can easily run into 1-2% even for top 1/3rd liquid stocks.

  • What according to you is a realistic slippage assumption @open?
  • Do you have suggestions regarding how to minimize the slippage?
  • Is moving to more liquid stocks (e.g. top 10%) the only way to minimize impact?

Thanks.