Would you be so kind as to enlighten me on slippage? In what way would it screw with trading?
I would assume the implication was that:
if real volume be truly that large,
then slippage should be much less than that experienced.
I understand the correlation between volume and slippage, but I'm not sure how exactly those contracts work as I've never used or read into them.
The particular trade that I found galling had me enter a stop loss at $xx93 (which was below a major support point). The price fell through the support and the sell order executed at $xx20, which is $73 in slippage.
The most slippage I have previously experienced on breaking major support was $13 on Bitstamp at a much higher price (therefor far lower slippage in both nominal and percentage terms).
This leads me to believe that either: (a) Bitmex has exceptionally poor liquidity or (b) their proprietary trading desk is front running trades or (c) they are deliberately discriminating against fish in the order book.
The net result is the same.
While there are some complexities around whether one uses the last, mark or index price as trigger, it really all comes out in the same place. None of this should be impacted by the particular rules of the instrument, and this was not a liquidation (I have never been liquidated and don’t intend to start).
I have had a number of other trades on Bitmex where my slippage has been about 10x what I would expect. Given that Bitmex supposedly has 10x the volume of Bitstamp and 10x liquidity, something is rotten in the Seychelles. I would go so far as to say either they are front running their own customers or their organic volume is about 1% of what they claim.
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