Trading

Brasco

Anatomy of a Trading Day

Tuesday >


Trade 2 - Long BTS Trade [with micro spike]
NT Tracked EntryBronze TargetSilver TargetGold TargetStop
2982.50n/an/an/a2979.00


Trade 2 - Long BTS Trade [brokerage statement]


Actual EntryBronze TargetSilver TargetGold TargetStop
2974.002974.752976.002977.50n/a


Conclusion – Trade 1
NinjaTrader accurately recorded the trade. However, I made an error when entering the silver target fill price. I recorded 2975.75 where it should have been 2976.00. So, I guess we made an extra tick on that contract.

Conclusion – Trade 7

I took this trade outside of the trading room. It was not recorded as an "official'' BTS trade.


Conclusion – Trade 6

This micro spike happened so quickly, the BTSstrategy virtually had no time to place the targets or stop. Essentially this meant the current traded price was far below the actual targets placed by the ATM strategy, meaning the market executed these as BUY market orders because they were above current traded price when the BTSstrategy placed them. This is evidenced by the bronze target which has 2 contracts, filling at 2 different prices.

The actual fill for this trade should have been 2977.75. Because of the spike down, the BTSstategy entered us on a sell STP but we didn’t get filled until 2973.75 which is 4 points / 16 ticks below! Talk about a mega toxic fill!

Fortunately, the market continued to fall and we (more by luck than judgement) ended up with a profitable trade.

​​​​​
Actual EntryBronze TargetSilver TargetGold TargetStop
2986.50n/an/an/a2986.50


Trade 6 - Short BTS Trade [brokerage statement]

Account Summary brokerage statement as of 10th October 2019


​​​​
Actual EntryBronze TargetSilver TargetGold TargetStop
2982.50n/an/an/a2979.00


Trade 7 - Short BTS Trade [no micro spike] - trade taken outside of trading room
NT Tracked EntryBronze TargetSilver TargetGold TargetStop
2987.002986.25n/an/an/a


​When I receive my daily brokerage statement, I usually have a quick scan through it to ensure the fills I recorded in real time match the order book of trade confirmations. Although I keep a track of the NinjaTrader recorded executions, I also use an Excel spreadsheet that details out the types of BTS trades that were taken. Every now and again I do make some errors that I subsequently correct.

The odd tick +/- here or there of actual fill price isn’t a big deal and on occasion it does happen, especially as the BTSstrategy enters on a STP order. LMT orders for targets however, should be very accurate as there should be no slippage with these types of orders.

However, the ES instrument can move very quickly and on Friday October 11, 2019 we had 2 very quick moves that left traders (including me) wondering what had just happened.

I call these micro spikes and although they are rare, they do happen and can take you by surprise, especially if you have a position on or a strategy that enters you into one. Liquidity vacuum anyone?


On Friday, the first micro spike (the second trade we entered) left us nursing a losing trade. The second micro spike (the sixth trade we entered) did the polar opposite and aided in getting us back into profit for the day. Either way, the 2 micro spikes both happened very quickly and we were in and out of both trades before we knew it and before we could discretionarily intervene. In both cases BTS entered a position via the BTSstrategy.

I have timestamped all of these trades from my real time trading video I posted on YouTube (click the TV screen link on the right and click the timestamps accordingly) so you can follow along in conjunction with the writing below.

Even though NinjaTrader records your execution price, everything happened so fast I wanted to circle back to my brokerage statement and analyse my fills. In addition, I will take a look at some of the 'extra' fees that us day traders have to pay. These fees are on top of commisions and can take you by surprise if you don't know what they are. The bookmarks on the right will link to an external site to explain what each additional fee is.


So let's review the day's trading from Friday October 11, 2019. Brokerage statement is included for clarity.

Monday >


Trade 3 - Long BTS Trade [no micro spike]
NT Tracked EntryBronze TargetSilver TargetGold TargetStop
2986.502987.00n/an/a2986.50


Trade 1 - Long BTS Trade [no micro spike]
NT Tracked EntryBronze TargetSilver TargetGold TargetStop
2974.002974.752976.002977.50n/a


Trading Fees

Trade 3 - Long BTS Trade [brokerage statement]

Thursday >


Trade 4 - Long BTS Trade [filtered by BTS - no trade to analyze]


Wednesday >


Why don't the dollar values you track on your Excel spreadsheet match the brokerage statement?


Trade 1 - Long BTS Trade [brokerage statement]

Trade 5 - Long BTS Trade [no micro spike]
NT Tracked EntryBronze TargetSilver TargetGold TargetStop
2982.002981.25n/an/a2982.00


​​​​​
Actual EntryBronze TargetSilver TargetGold TargetStop
2982.002981.25n/an/a2982.00


​​​​​​​​
Actual EntryBronze TargetSilver TargetGold TargetStop
2973.752972.50 & 2972.252969.752968.75n/a


Trade 6 - Short BTS Trade [with micro spike]
NT Tracked EntryBronze TargetSilver TargetGold TargetStop
2973.752972.50 & 2972.252969.752968.75n/a


​​​​​​​​
Actual EntryBronze TargetSilver TargetGold TargetStop
2987.002986.25n/an/an/a


Trade 5 - Long BTS Trade [brokerage statement]

Conclusion – Trade 3

The BTS Break trade was accurately recorded. We only attained a bronze target on 2 contracts, the rest were break even.

Conclusion – Trade 5

The BTS Break trade was accurately recorded. We only attained a bronze target on 2 contracts, the rest were break even.

Trade 6 - Short BTS Trade [brokerage statement]

Conclusion – Trade 2

Even with the quick move, NinjaTrader recorded this accurately. The BTSstrategy entered the trade (which will always be much quicker on the button than a human) but the fill should have been at 2980.75. The actual fill was at 2982.50 which is 1.75 points / 7 ticks higher than we were expecting, hence this became a toxic fill because of the fast-moving market.

There was no chance (or time) we could recover this trade. It took me completely by surprise as you can probably tell in the video!


On my spreadsheet I usually just track my commission and clearing fee, but you do need to be aware of the additional fees you will be charged. You have no control over these additional fees, but you can shop around from broker to broker to try and get the best deal. In some cases the fees are not fixed dollar amounts and will vary from time to time. Whichever way us Canadian's cut it however, our choices for brokers are quite limited and subsequently we always pay higher fees.


As I have discussed in the past, my daily brokerage statement will differ slightly from my tracking spreadsheet


So let's do a typical breakdown of the fees and commisions. As stated above, these will not be the same for everybody and will even differ for me from time to time depending on a few factors.


We entered 6 trades on Friday each with 4 contracts. Therefore, in total there were 48 executions. 24 on the buy side and 24 on the sell side.


Exchange Fees

$56.64 which equates to $1.18 per round trip


NFA Fee

$0.96 which equates to $0.02 per round trip


Clearing Fee

$16.80 which equates to $2.86 per round trip


CQG TRF Fee

$4.80 which equates to $0.10 per round trip 


Commission Fee

$48.00 which equates to $1.00 per round trip


Final Conclusion

​My total commision and fees means I pay on average circa $5.16 per round trip per contract. This does fluctuate + / - a few cents here and there. Regardless, it is much more than fellow traders of mine pay and so a change in brokerage may be on the cards. However, the service you receive from your broker is important and I have to say mine is excellent.



STATEMENT

CFTC Rules 4.41 - brascotrading.com  / It should be assumed that these results are hypothetical and simulated. Hypothetical or Simulated performance results have certain limitations, unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.

All Content and Information including the Trading Room is provided for educational purposes only. Brasco Trading is not an investment advisory service, broker-dealer, commodity trading advisor, legal advisor, tax advisor, or registered investment advisor, and does not purport to tell or suggest which commodities, currencies or securities customers should buy or sell for themselves. The owner, affiliates, employees or officers of Brasco Trading (brascotrading.com) may hold positions in the commodities, currencies or securities discussed in the Trading Room or website.


Brasco Trading's full legal disclaimer, risk disclosure and privacy statement can be found here by following the appropriate links at the bottom of this page.

Friday >