認真請教一下大家滑價大概都多少 - 期貨

Susan avatar
By Susan
at 2009-08-28T18:37

Table of Contents

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 ,09150000,6732,2,-,-
20090828,TX ,200909 ,09150000,6731,2,-,-
20090828,TX ,200909 ,09150000,6731,2,-,-
20090828,TX ,200909 ,09150000,6732,6,-,-
20090828,TX ,200909 ,09150000,6732,14,-,-
20090828,TX ,200909 ,09150000,6733,6,-,-
20090828,TX ,200909 ,09150000,6733,2,-,-
20090828,TX ,200909 ,09150000,6733,2,-,-
20090828,TX ,200909 ,09150000,6732,2,-,-
20090828,TX ,200909 ,09150000,6733,2,-,-
20090828,TX ,200909 ,09150000,6733,2,-,-
20090828,TX ,200909 ,09150000,6732,2,-,-
20090828,TX ,200909 ,09150000,6733,14,-,-
----------------------------------------------------
20090828,TX ,200909 ,09150100,6733,4,-,-
20090828,TX ,200909 ,09150100,6733,2,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6733,2,-,-
20090828,TX ,200909 ,09150100,6734,18,-,-
20090828,TX ,200909 ,09150100,6732,2,-,-
20090828,TX ,200909 ,09150100,6733,2,-,-
20090828,TX ,200909 ,09150100,6735,2,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6735,2,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6735,16,-,-
20090828,TX ,200909 ,09150100,6735,12,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6735,40,-,-
20090828,TX ,200909 ,09150100,6735,14,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6734,2,-,-
20090828,TX ,200909 ,09150100,6735,6,-,-
20090828,TX ,200909 ,09150100,6735,2,-,-
20090828,TX ,200909 ,09150100,6735,4,-,-
20090828,TX ,200909 ,09150100,6735,2,-,-
20090828,TX ,200909 ,09150100,6735,2,-,-
20090828,TX ,200909 ,09150100,6735,6,-,-
20090828,TX ,200909 ,09150100,6735,4,-,-
20090828,TX ,200909 ,09150100,6735,2,-,-
----------------------------------------------------
20090828,TX ,200909 ,09150200,6735,8,-,-
20090828,TX ,200909 ,09150200,6736,26,-,-
20090828,TX ,200909 ,09150200,6737,2,-,-
20090828,TX ,200909 ,09150200,6737,4,-,-
20090828,TX ,200909 ,09150200,6737,4,-,-
20090828,TX ,200909 ,09150200,6737,4,-,-
20090828,TX ,200909 ,09150200,6737,8,-,-
----------------------------------------------------
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6736,2,-,-
20090828,TX ,200909 ,09150300,6737,6,-,-
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6737,2,-,-
20090828,TX ,200909 ,09150300,6737,2,-,-
20090828,TX ,200909 ,09150300,6737,2,-,-
20090828,TX ,200909 ,09150300,6736,4,-,-
20090828,TX ,200909 ,09150300,6735,2,-,-
20090828,TX ,200909 ,09150300,6734,2,-,-
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6737,2,-,-
20090828,TX ,200909 ,09150300,6738,4,-,-
20090828,TX ,200909 ,09150300,6738,4,-,-
20090828,TX ,200909 ,09150300,6738,4,-,-
20090828,TX ,200909 ,09150300,6738,2,-,-
20090828,TX ,200909 ,09150300,6738,2,-,-
20090828,TX ,200909 ,09150300,6738,2,-,-
20090828,TX ,200909 ,09150300,6738,2,-,-
20090828,TX ,200909 ,09150300,6738,80,-,-
20090828,TX ,200909 ,09150300,6735,2,-,-
20090828,TX ,200909 ,09150300,6735,8,-,-
20090828,TX ,200909 ,09150300,6738,2,-,-
20090828,TX ,200909 ,09150300,6738,4,-,-
20090828,TX ,200909 ,09150300,6738,2,-,-
20090828,TX ,200909 ,09150300,6738,2,-,-
20090828,TX ,200909 ,09150300,6736,4,-,-
20090828,TX ,200909 ,09150300,6738,4,-,-
20090828,TX ,200909 ,09150300,6739,4,-,-
20090828,TX ,200909 ,09150300,6735,4,-,-
20090828,TX ,200909 ,09150300,6735,4,-,-
20090828,TX ,200909 ,09150300,6735,2,-,-
20090828,TX ,200909 ,09150300,6739,6,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6739,8,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6736,6,-,-
20090828,TX ,200909 ,09150300,6739,6,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6736,6,-,-
20090828,TX ,200909 ,09150300,6740,8,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6740,10,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6736,2,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6740,10,-,-
20090828,TX ,200909 ,09150300,6737,2,-,-
20090828,TX ,200909 ,09150300,6740,10,-,-
20090828,TX ,200909 ,09150300,6737,4,-,-
20090828,TX ,200909 ,09150300,6736,2,-,-
20090828,TX ,200909 ,09150300,6734,2,-,-
20090828,TX ,200909 ,09150300,6734,2,-,-
20090828,TX ,200909 ,09150300,6734,2,-,-
20090828,TX ,200909 ,09150300,6734,4,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6740,4,-,-
20090828,TX ,200909 ,09150300,6736,6,-,-
20090828,TX ,200909 ,09150300,6739,4,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6737,2,-,-
20090828,TX ,200909 ,09150300,6736,6,-,-
20090828,TX ,200909 ,09150300,6740,4,-,-
20090828,TX ,200909 ,09150300,6740,4,-,-
20090828,TX ,200909 ,09150300,6740,4,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6739,2,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6740,10,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6740,16,-,-
20090828,TX ,200909 ,09150300,6741,6,-,-
20090828,TX ,200909 ,09150300,6741,6,-,-
20090828,TX ,200909 ,09150300,6742,8,-,-
20090828,TX ,200909 ,09150300,6743,2,-,-
20090828,TX ,200909 ,09150300,6743,2,-,-
20090828,TX ,200909 ,09150300,6743,2,-,-
20090828,TX ,200909 ,09150300,6743,2,-,-
20090828,TX ,200909 ,09150300,6744,4,-,-
20090828,TX ,200909 ,09150300,6744,2,-,-
20090828,TX ,200909 ,09150300,6744,2,-,-
20090828,TX ,200909 ,09150300,6745,8,-,-
20090828,TX ,200909 ,09150300,6740,8,-,-
20090828,TX ,200909 ,09150300,6745,2,-,-
20090828,TX ,200909 ,09150300,6740,4,-,-
20090828,TX ,200909 ,09150300,6740,2,-,-
20090828,TX ,200909 ,09150300,6745,2,-,-
20090828,TX ,200909 ,09150300,6741,2,-,-
20090828,TX ,200909 ,09150300,6745,4,-,-
20090828,TX ,200909 ,09150300,6740,8,-,-
20090828,TX ,200909 ,09150300,6745,12,-,-
20090828,TX ,200909 ,09150300,6745,18,-,-
----------------------------------------------------
20090828,TX ,200909 ,09150400,6742,2,-,-
20090828,TX ,200909 ,09150400,6741,2,-,-
20090828,TX ,200909 ,09150400,6741,2,-,-
20090828,TX ,200909 ,09150400,6740,2,-,-
20090828,TX ,200909 ,09150400,6742,6,-,-
20090828,TX ,200909 ,09150400,6744,4,-,-
20090828,TX ,200909 ,09150400,6745,4,-,-
20090828,TX ,200909 ,09150400,6740,2,-,-
20090828,TX ,200909 ,09150400,6745,4,-,-
20090828,TX ,200909 ,09150400,6745,4,-,-
20090828,TX ,200909 ,09150400,6745,2,-,-
20090828,TX ,200909 ,09150400,6740,2,-,-
20090828,TX ,200909 ,09150400,6740,2,-,-
20090828,TX ,200909 ,09150400,6745,6,-,-
20090828,TX ,200909 ,09150400,6740,6,-,-
20090828,TX ,200909 ,09150400,6742,6,-,-
20090828,TX ,200909 ,09150400,6745,4,-,-
20090828,TX ,200909 ,09150400,6745,4,-,-
20090828,TX ,200909 ,09150400,6746,2,-,-
20090828,TX ,200909 ,09150400,6746,10,-,-
20090828,TX ,200909 ,09150400,6738,6,-,-
20090828,TX ,200909 ,09150400,6737,2,-,-
20090828,TX ,200909 ,09150400,6746,2,-,-
20090828,TX ,200909 ,09150400,6747,2,-,-
20090828,TX ,200909 ,09150400,6747,6,-,-
20090828,TX ,200909 ,09150400,6737,4,-,-
20090828,TX ,200909 ,09150400,6739,2,-,-
20090828,TX ,200909 ,09150400,6745,2,-,-
20090828,TX ,200909 ,09150400,6745,2,-,-
20090828,TX ,200909 ,09150400,6745,2,-,-
20090828,TX ,200909 ,09150400,6737,2,-,-
20090828,TX ,200909 ,09150400,6747,4,-,-
20090828,TX ,200909 ,09150400,6747,2,-,-
20090828,TX ,200909 ,09150400,6748,2,-,-
20090828,TX ,200909 ,09150400,6748,16,-,-
20090828,TX ,200909 ,09150400,6737,2,-,-
20090828,TX ,200909 ,09150400,6748,4,-,-
20090828,TX ,200909 ,09150400,6737,2,-,-
20090828,TX ,200909 ,09150400,6737,2,-,-
20090828,TX ,200909 ,09150400,6746,2,-,-
20090828,TX ,200909 ,09150400,6748,2,-,-
20090828,TX ,200909 ,09150500,6748,4,-,-
20090828,TX ,200909 ,09150500,6747,4,-,-
20090828,TX ,200909 ,09150500,6748,8,-,-
20090828,TX ,200909 ,09150500,6748,2,-,-
20090828,TX ,200909 ,09150500,6749,2,-,-
20090828,TX ,200909 ,09150500,6741,2,-,-
20090828,TX ,200909 ,09150500,6749,2,-,-
20090828,TX ,200909 ,09150500,6747,2,-,-
20090828,TX ,200909 ,09150500,6741,4,-,-
20090828,TX ,200909 ,09150500,6747,2,-,-
20090828,TX ,200909 ,09150500,6745,2,-,-
20090828,TX ,200909 ,09150500,6739,2,-,-
20090828,TX ,200909 ,09150500,6738,2,-,-
20090828,TX ,200909 ,09150500,6745,2,-,-
20090828,TX ,200909 ,09150500,6743,2,-,-
20090828,TX ,200909 ,09150500,6745,2,-,-
20090828,TX ,200909 ,09150500,6747,2,-,-
20090828,TX ,200909 ,09150500,6737,6,-,-
20090828,TX ,200909 ,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!

--
Tags: 期貨

All Comments

Megan avatar
By Megan
at 2009-08-31T14:34
假裝 有看懂
Kristin avatar
By Kristin
at 2009-09-04T01:09
5秒滑了19點....= =""
Gilbert avatar
By Gilbert
at 2009-09-04T05:41
推分析文!
Ethan avatar
By Ethan
at 2009-09-07T12:53
略懂
Skylar DavisLinda avatar
By Skylar DavisLinda
at 2009-09-12T04:42
不解？富邦e01顯示09:15:00~09:15:59有2790口；查了期交所
Ida avatar
By Ida
at 2009-09-17T04:02
28日成交108868口，28日富邦e01顯示成交108814口，差54口；
Agatha avatar
By Agatha
at 2009-09-21T10:08
如果上述屬實，應差近2700口(5500-2790)，此點不解？
Andy avatar
By Andy
at 2009-09-22T06:27
感謝認真回應!
Sarah avatar
By Sarah
at 2009-09-24T08:45
軟體15-16分的明細來不及完全接收,應該是遞延到16分以後了吧
Queena avatar
By Queena
at 2009-09-26T11:57
大家策略都用5分 10分 30分K線 導致關鍵時間點 划價很大
個人感覺^^
Edward Lewis avatar
By Edward Lewis
at 2009-09-26T23:22
我的策略是 tick 沒這問題 ..XD
Edwina avatar
By Edwina
at 2009-10-01T11:22
我發現我和別人的差異了!!!我是兩分K!!
Catherine avatar
By Catherine
at 2009-10-02T09:30
所以我下單不是正常5分K的點

三大法人期權未平倉資料 2009/8/28

Rachel avatar
By Rachel
at 2009-08-28T16:10
三大法人期權未平倉資料 2009/8/28 — 當日增減淨額 現貨 買進 賣出 買賣超(億) 外資 218.36 91.23 127.13 投信 20.95 17.14 3.81 自營商 22.90 21.43 1.47 合計 ...

98年08月28日 期貨收盤價&結算價一覽表

Lauren avatar
By Lauren
at 2009-08-28T15:18
http://www.taifex.com.tw/chinese/home.htm 98年08月28日 期貨收盤價andamp;結算價一覽表 類別 收盤價 當日結算價 ======================================= 台指期09 6754 ...

98年08月28日 三大法人買賣金額統計表

Ursula avatar
By Ursula
at 2009-08-28T14:51
※ [本文轉錄自 Stock 看板] 作者: coconing (Iand#39;ve been changed.) 看板: Stock 標題: [其他] 98年08月28日 三大法人買賣金額統計表 時間: Fri Aug 28 14:51:47 2009 http://www.twse.com.tw/c ...

20090828 盤後閒聊

Susan avatar
By Susan
at 2009-08-28T14:01
andgt; 9859 ← 突破這裡我就推倒女友！ andgt; 6931 ← 空方缺口上緣壓力 andgt; 6904 ← 空方缺口下緣壓力，與月均線形成雙線反壓 andgt; 6827 ← 壓力 現貨今日高點 6824 點 andgt; 6775 ← 頸線壓力 ...

認真請教一下大家滑價大概都多少

Rosalind avatar
By Rosalind
at 2009-08-28T11:27
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673 ...