babypig:LMAX这两周的滑点情况统计[转]

原贴地址：
http://www.newsmth.net/nForum/#!article/ProgramTrading/52398?p=1
上周合计：-0.4 (ping = 300 - 500ms)
本周合计：2 (ping < 10ms)
正的值代表滑点方向有利，负的值代表滑点方向不利

上周：
方向 货币对 希望价格成交价格滑点
Sell USDCHF.lmx 0.95843 0.95842 -0.1
Buy USDCAD.lmx 1.02611 1.02611 0
Buy USDCHF.lmx 0.95767 0.95766 0.1
Sell USDCHF.lmx 0.95626 0.95623 -0.3
Sell USDCAD.lmx 1.02526 1.02525 -0.1
Sell EURUSD.lmx 1.25821 1.25822 0.1
Buy GBPUSD.lmx 1.553 1.55293 0.7
Sell USDCHF.lmx 0.95469 0.95451 -1.8
Buy EURUSD.lmx 1.25797 1.25805 -0.8
Buy EURUSD.lmx 1.25767 1.25768 -0.1
Buy EURUSD.lmx 1.25699 1.25688 1.1
Buy EURUSD.lmx 1.25699 1.25689 1
Buy EURUSD.lmx 1.25744 1.25748 -0.4
Buy EURUSD.lmx 1.25656 1.25662 -0.6
Sell USDCHF.lmx 0.95628 0.95628 0
Sell USDCHF.lmx 0.95603 0.95603 0
Buy USDCHF.lmx 0.95552 0.95552 0
Sell USDCAD.lmx 1.02848 1.0285 0.2
Buy USDCAD.lmx 1.02703 1.02699 0.4
Buy USDCAD.lmx 1.02631 1.02631 0
Buy USDCHF.lmx 0.95312 0.95314 -0.2
Buy USDCAD.lmx 1.02376 1.02376 0
Sell USDCHF.lmx 0.95402 0.95409 0.7
Buy EURUSD.lmx 1.25885 1.25885 0
Sell USDCHF.lmx 0.95402 0.95406 0.4
Sell USDCAD.lmx 1.02552 1.02552 0
Buy GBPUSD.lmx 1.55184 1.5519 -0.6
Buy USDCAD.lmx 1.02323 1.02328 -0.5
Sell EURUSD.lmx 1.26283 1.26283 0
Sell USDCAD.lmx 1.02344 1.02344 0
Sell USDCHF.lmx 0.95141 0.95137 -0.4
Buy AUDUSD.lmx 1.0007 1.0007 0
Sell USDCHF.lmx 0.95146 0.95145 -0.1
Buy EURUSD.lmx 1.2622 1.26217 0.3
Buy GBPUSD.lmx 1.55422 1.55422 0
Buy EURUSD.lmx 1.26163 1.26162 0.1
Buy EURUSD.lmx 1.26163 1.26162 0.1
Buy EURUSD.lmx 1.26158 1.26158 0
Sell USDCHF.lmx 0.952 0.952 0
Sell EURUSD.lmx 1.26402 1.26396 -0.6
Buy USDCHF.lmx 0.95011 0.95011 0
Buy AUDUSD.lmx 1.00132 1.0013 0.2
Buy EURUSD.lmx 1.26234 1.26233 0.1
Buy EURUSD.lmx 1.26247 1.26237 1
Sell GBPUSD.lmx 1.5494 1.54939 -0.1
Buy USDCAD.lmx 1.02322 1.02322 0
Sell USDCHF.lmx 0.95218 0.95218 0
Buy GBPUSD.lmx 1.55706 1.55708 -0.2
合计 -0.4

本周：
方向 货币对 希望价格成交价格滑点
Buy GBPUSD.lmx 1.57073 1.57073 0
Sell USDCHF.lmx 0.94568 0.94575 0.7
Sell USDCHF.lmx 0.94568 0.94574 0.6
Buy EURUSD.lmx 1.27033 1.27033 0
Buy EURUSD.lmx 1.27035 1.27035 0
Buy EURUSD.lmx 1.26969 1.26969 0
Buy AUDUSD.lmx 1.01099 1.01099 0
Buy AUDUSD.lmx 1.01047 1.01048 -0.1
Buy GBPUSD.lmx 1.57018 1.57019 -0.1
Buy EURUSD.lmx 1.26864 1.26867 -0.3
Sell USDCHF.lmx 0.9469 0.94696 0.6
Buy AUDUSD.lmx 1.00999 1.00999 0
Sell USDCAD.lmx 1.02132 1.02132 0
Buy EURUSD.lmx 1.26763 1.2676 0.3
Sell USDCHF.lmx 0.94719 0.94719 0
Buy USDJPY.lmx 79.166 79.162 0.4
Buy GBPUSD.lmx 1.57003 1.56988 1.5
Buy GBPUSD.lmx 1.57003 1.56986 1.7
Buy GBPUSD.lmx 1.57003 1.56991 1.2
Buy GBPUSD.lmx 1.56984 1.56986 -0.2
Buy GBPUSD.lmx 1.5696 1.5696 0
Buy GBPUSD.lmx 1.56946 1.56946 0
Buy EURUSD.lmx 1.26868 1.26868 0
Sell USDCHF.lmx 0.94666 0.94666 0
Buy EURUSD.lmx 1.26876 1.26876 0
Buy AUDUSD.lmx 1.00977 1.00977 0
Buy EURUSD.lmx 1.26792 1.26792 0
Buy GBPUSD.lmx 1.56778 1.56774 0.4
Sell EURUSD.lmx 1.26342 1.26342 0
Buy USDCAD.lmx 1.02492 1.02492 0
Sell USDCAD.lmx 1.02679 1.02679 0
Buy EURUSD.lmx 1.25671 1.25671 0
Sell EURUSD.lmx 1.25893 1.25893 0
Buy USDCHF.lmx 0.9535 0.9535 0
Sell EURUSD.lmx 1.25853 1.25845 -0.8
Buy AUDUSD.lmx 1.01111 1.01111 0
Buy USDCHF.lmx 0.95305 0.95303 0.2
Sell USDCAD.lmx 1.02313 1.02313 0
Buy GBPUSD.lmx 1.56819 1.5682 -0.1
Buy GBPUSD.lmx 1.56811 1.56811 0
Buy GBPUSD.lmx 1.5681 1.56812 -0.2
Buy USDCHF.lmx 0.94957 0.94953 0.4
Sell EURUSD.lmx 1.26773 1.26764 -0.9
Sell EURUSD.lmx 1.27203 1.27204 0.1
Sell GBPUSD.lmx 1.5754 1.5754 0
Buy EURUSD.lmx 1.26934 1.26956 -2.2
Sell USDCHF.lmx 0.94604 0.94601 -0.3
Sell USDCAD.lmx 1.01831 1.01829 -0.2
Buy GBPUSD.lmx 1.57325 1.57325 0
Buy AUDUSD.lmx 1.01809 1.01809 0
Sell USDCAD.lmx 1.01864 1.01867 0.3
Buy AUDUSD.lmx 1.01753 1.01753 0
Buy EURUSD.lmx 1.26855 1.26856 -0.1
Buy EURUSD.lmx 1.26845 1.26847 -0.2
Sell USDCHF.lmx 0.94661 0.94661 0
Sell USDCAD.lmx 1.01832 1.01816 -1.6
Sell USDCAD.lmx 1.01826 1.01826 0
Buy EURUSD.lmx 1.26838 1.26837 0.1
Buy EURUSD.lmx 1.26838 1.26837 0.1
Buy EURUSD.lmx 1.26838 1.26837 0.1
Buy AUDUSD.lmx 1.01829 1.01825 0.4
Sell USDCHF.lmx 0.94686 0.94686 0
Sell USDCHF.lmx 0.94686 0.94686 0
Buy GBPUSD.lmx 1.57199 1.57199 0
Buy GBPUSD.lmx 1.57199 1.57199 0
Buy GBPUSD.lmx 1.57199 1.57199 0
Sell USDCHF.lmx 0.94742 0.94741 -0.1
Buy GBPUSD.lmx 1.57168 1.5717 -0.2
Sell GBPUSD.lmx 1.57198 1.57197 -0.1
Buy USDCHF.lmx 0.94732 0.94734 -0.2
Sell USDJPY.lmx 78.9 78.9 0
Sell EURUSD.lmx 1.26764 1.26769 0.5
Sell EURUSD.lmx 1.26828 1.26829 0.1
Sell USDCHF.lmx 0.94776 0.94772 -0.4
Sell USDCAD.lmx 1.01842 1.01848 0.6
Buy USDCHF.lmx 0.94409 0.94409 0
Buy GBPUSD.lmx 1.57271 1.5727 0.1
Buy GBPUSD.lmx 1.57331 1.57344 -1.3
Sell USDCAD.lmx 1.02191 1.02192 0.1
Sell EURUSD.lmx 1.26408 1.26405 -0.3
Sell EURUSD.lmx 1.26757 1.26772 1.5
Sell USDCHF.lmx 0.94722 0.9472 -0.2
Buy USDJPY.lmx 79.398 79.398 0
Buy GBPUSD.lmx 1.56773 1.56771 0.2
Sell EURUSD.lmx 1.26836 1.26836 0
Buy EURUSD.lmx 1.25754 1.25758 -0.4
Buy GBPUSD.lmx 1.56101 1.56097 0.4
Sell AUDUSD.lmx 1.00478 1.00478 0
Buy USDJPY.lmx 80.195 80.195 0
Buy USDCHF.lmx 0.95695 0.95697 -0.2
Sell GBPUSD.lmx 1.55975 1.55975 0
Sell GBPUSD.lmx 1.56048 1.56048 0
Sell GBPUSD.lmx 1.56048 1.56048 0
Buy USDCHF.lmx 0.95685 0.95683 0.2
Sell EURUSD.lmx 1.2558 1.2558 0
Sell EURUSD.lmx 1.256 1.25601 0.1
Sell EURUSD.lmx 1.25601 1.25601 0
Buy USDCAD.lmx 1.02768 1.02768 0
Buy USDCHF.lmx 0.95643 0.95643 0
Sell USDCAD.lmx 1.02889 1.02893 0.4
Buy USDJPY.lmx 80.283 80.286 -0.3
Sell AUDUSD.lmx 1.00461 1.00462 0.1
Buy EURUSD.lmx 1.25671 1.25675 -0.4
合计 2

 

LMAX本周滑点情况20120706

http://www.newsmth.net/nForum/#!article/ProgramTrading/54177


方向 货币对 希望价格 成交价格 滑点
Buy AUDUSD.lmx 1.0223 1.0223 0
Sell USDCHF.lmx 0.95185 0.95185 0
Sell USDCHF.lmx 0.95456 0.9546 0.4
Sell USDCAD.lmx 1.01711 1.01711 0
Sell USDCAD.lmx 1.01712 1.01712 0
Sell USDCHF.lmx 0.95485 0.95484 -0.1
Sell GBPUSD.lmx 1.56965 1.56965 0
Sell EURUSD.lmx 1.25952 1.25952 0
Buy USDCHF.lmx 0.95317 0.95318 -0.1
Buy GBPUSD.lmx 1.56946 1.56945 0.1
Buy GBPUSD.lmx 1.56946 1.56947 -0.1
Buy GBPUSD.lmx 1.56937 1.56937 0
Sell USDCAD.lmx 1.0155 1.0155 0
Sell EURUSD.lmx 1.26105 1.26104 -0.1
Sell GBPUSD.lmx 1.57046 1.57045 -0.1
Sell USDCHF.lmx 0.95272 0.95272 0
Buy EURUSD.lmx 1.26067 1.26066 0.1
Buy EURUSD.lmx 1.26061 1.26061 0
Buy EURUSD.lmx 1.26061 1.2606 0.1
Buy AUDUSD.lmx 1.02803 1.02803 0
Buy GBPUSD.lmx 1.56784 1.56784 0
Sell USDCAD.lmx 1.01257 1.01257 0
Buy AUDUSD.lmx 1.02787 1.02785 0.2
Sell USDCHF.lmx 0.95399 0.95399 0
Buy EURUSD.lmx 1.25836 1.25836 0
Sell USDCAD.lmx 1.01295 1.01296 0.1
Buy USDCAD.lmx 1.0133 1.0133 0
Sell USDCHF.lmx 0.95838 0.9584 0.2
Buy EURUSD.lmx 1.25113 1.25116 -0.3
Sell GBPUSD.lmx 1.56055 1.56055 0
Buy USDCHF.lmx 0.95831 0.95831 0
Sell EURUSD.lmx 1.2466 1.24654 -0.6
Sell GBPUSD.lmx 1.55169 1.55169 0
Sell USDCHF.lmx 0.97034 0.97035 0.1
Sell GBPUSD.lmx 1.55293 1.55293 0
Sell GBPUSD.lmx 1.55363 1.55364 0.1
Sell GBPUSD.lmx 1.55363 1.55364 0.1
Sell EURUSD.lmx 1.23925 1.23925 0
Sell GBPUSD.lmx 1.55352 1.55352 0
Buy USDCHF.lmx 0.96933 0.96933 0
Sell EURUSD.lmx 1.2394 1.2394 0
Buy USDCHF.lmx 0.96909 0.96909 0
Buy USDCHF.lmx 0.96909 0.96909 0
Buy USDJPY.lmx 79.888 79.888 0
Sell EURUSD.lmx 1.23949 1.23949 0
Sell EURUSD.lmx 1.23949 1.23952 0.3
Sell USDCAD.lmx 1.01425 1.01424 -0.1
Sell GBPUSD.lmx 1.55293 1.55293 0
Sell GBPUSD.lmx 1.55299 1.55303 0.4
Sell GBPUSD.lmx 1.55299 1.55307 0.8
Sell GBPUSD.lmx 1.55299 1.55296 -0.3
Sell GBPUSD.lmx 1.55302 1.55304 0.2
Sell GBPUSD.lmx 1.55287 1.55284 -0.3
Sell EURUSD.lmx 1.23836 1.23836 0
Buy USDCHF.lmx 0.97008 0.97011 -0.3
Buy USDCAD.lmx 1.01462 1.01462 0
Sell EURUSD.lmx 1.23854 1.23856 0.2
Sell EURUSD.lmx 1.23854 1.23856 0.2
Sell GBPUSD.lmx 1.55311 1.55324 1.3
Sell GBPUSD.lmx 1.55311 1.55322 1.1
Sell EURUSD.lmx 1.2387 1.23876 0.6
Sell EURUSD.lmx 1.2387 1.23878 0.8
Sell EURUSD.lmx 1.2387 1.23884 1.4
Sell EURUSD.lmx 1.23929 1.23929 0
Buy USDCHF.lmx 0.9687 0.9687 0

总计 6.4