Re: [问题] 认真请教一下大家滑价大概都多少

时间Fri Aug 28 18:37:50 2009

我想这不全然是看盘软体的问题因为09:15-09:16这一分钟内出现近5500口的天量你没看错,是5500口,大部分看盘软体都低估了因为资料量太快,期交所塞车,资料源来不及接收在09:15:00成交笔数26笔 09:15:01成交笔数29笔 09:15:02成交笔数 7笔 09:15:03成交笔数104笔你有没有发现在02秒的时候成交笔数只剩7笔表示连期交所系统都严重塞车,单子丢不进去当09:15:00 的K bar结束才产生讯号的程式交易除非你的自动下单非常快,可以抢先在09:15:01内下单或非常好运,成为02秒七笔单的其中一笔不然大部分散户单都会成交在03秒所以你也不用自怨自哀了很多人都跟你一样只是你运气稍为差了点,刚好成交在03秒的最高价6745 需要检讨的是期交所的系统,网路或硬体都需要扩充了等投信代操期货规模越大关键价位产生的滑价会吓死人贴一下期交所的成交明细,供您参考,因为大部分券商的都是错的..XD 交易日期大台月份时间价位分量 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)》之铭言： : 板上前辈们, : 如题, 小弟最近换到台证下单 : 今天早上9:10-9:15这只五分钟K收完 : 下一支开出时出现买进的讯号 : 看下单机的log是在9:15:02下单下单指令是用buy next bar at market : 券商系统看的log是9:15:03成交成交价6745 : 买进讯号的K棒开盘价看HTS是6731... : 小弟诚心请教大家几个问题: : 1. 是否最近滑价都比较严重? 大概几点呢?? : 2. 有可能是券商系统问题吗? : 3. 在同间期货商开户, 直接找期货公司跟经由他们的证券商期货部门, : 除了手续费以外下单/成交速度及优先顺序会有差吗?? : 小弟是只下一口市价单也只跑一个帐号一个策略 : 另当时电脑除了下单机跟HTS也只开防毒软体 : 目前本身电脑相关配备是 cablemodem 3M下行的 : AMD 64 双核心 2.6GHz, 4G RAM, : 下单机讯号挡我是放在虚拟硬碟让他跑 : 电脑用了大概半年, 基本上魔兽特效全开都能跑很顺... : 我也不讳言我是贪便宜手续费才换家的 : 原来一口大台是130 这边是70 本以为一个月可以省至少两千的 : 但是如果每次一口单都可以滑十几点...科科... : 感谢大家看完我落落长的问题! --

※ 发信站: 批踢踢实业坊(ptt.cc) ◆ From: 218.164.79.106

1^F：推 wty20002000:假装有看懂 08/28 18:45

2^F：→ kiwi780702:5秒滑了19点....= ="" 08/28 19:31

※ 编辑: ifoo 来自: 218.164.79.106 (08/28 19:34)

3^F：推 idleidle:推分析文! 08/28 19:57

4^F：推 iwillmissyou:略懂 08/28 21:16

5^F：→ LinOne:不解？富邦e01显示09:15:00~09:15:59有2790口；查了期交所 08/28 22:55

6^F：→ LinOne:28日成交108868口，28日富邦e01显示成交108814口，差54口； 08/28 22:57

7^F：→ LinOne:如果上述属实，应差近2700口(5500-2790)，此点不解？ 08/28 22:58

8^F：推 sen16888:感谢认真回应! 08/28 23:20

9^F：→ ifoo:软体15-16分的明细来不及完全接收,应该是递延到16分以後了吧 08/28 23:27

10^F：推 nickywang:大家策略都用5分 10分 30分K线导致关键时间点划价很大 08/28 23:37

11^F：→ nickywang:个人感觉^^ 08/28 23:37

12^F：→ Ting1024:我的策略是 tick 没这问题 ..XD 08/29 00:42

13^F：推 mmkntust:我发现我和别人的差异了!!!我是两分K!! 08/29 00:43

14^F：→ mmkntust:所以我下单不是正常5分K的点 08/29 00:44

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Re: [问题] 认真请教一下大家滑价大概都多少

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