Re: [問題] 認真請教一下大家滑價大概都多少

時間Fri Aug 28 18:37:50 2009

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! --

※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 218.164.79.106

1^F：推 wty20002000:假裝有看懂 08/28 18:45

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

※ 編輯: ifoo 來自: 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顯示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顯示成交108814口，差54口； 08/28 22:57

7^F：→ LinOne:如果上述屬實，應差近2700口(5500-2790)，此點不解？ 08/28 22:58

8^F：推 sen16888:感謝認真回應! 08/28 23:20

9^F：→ ifoo: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 08/28 23:27

10^F：推 nickywang: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 08/28 23:37

11^F：→ nickywang:個人感覺^^ 08/28 23:37

12^F：→ Ting1024:我的策略是 tick 沒這問題 ..XD 08/29 00:42

13^F：推 mmkntust:我發現我和別人的差異了!!!我是兩分K!! 08/29 00:43

14^F：→ mmkntust:所以我下單不是正常5分K的點 08/29 00:44

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Re: [問題] 認真請教一下大家滑價大概都多少

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