Spread Trading between two instruments

[RaviTuls]

Hi All,

I have a a Spread strategy where I am going long one instrument and shorting another. So I am creating a synthetic spread and trading that. ie instrument 1 - (instrument 2 multiplied by 2) = Spread price.

The issue I am having is the spread price is being created at the end of the bar, on the close,but the actual positions are being put on the next bar, which is causing some major slippage.
i.e. I have a bar closing on the 3rd of december which is giving me a spread price of 109.8 but the positions are not being put on until the next bar which has a spread price of 109.11, so I am entering the spread 2 ticks worse.

The other thing that is making the issue worse is that I can not have tick data entered into the most up-to-date data I can use is Minute data as the code within the strategy can not use Tick as an input;

(BarsArray[0].Period.Id != PeriodType.Day

I think using tick data would greatly decrease the slippage but this is apparently not an option.

Does anyone have any ideas on what I can do to reduce the slippage?

Kind Regards,
Ravi

[NinjaTrader_Lance]

The issue I am having is the spread price is being created at the end of the bar, on the close,but the actual positions are being put on the next bar, which is causing some major slippage.
i.e. I have a bar closing on the 3rd of december which is giving me a spread price of 109.8 but the positions are not being put on until the next bar which has a spread price of 109.11, so I am entering the spread 2 ticks worse.

When Calculate on bar close is set to true all your calculations will be made at the close of the bar. The very next tick that comes through is the start of the next bar. The order is being sent at the same moment the calculation is being made (assuming your logic dictates). Slippage is dependent on market conditions and your broker.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?calculateonbarclose.htm

The other thing that is making the issue worse is that I can not have tick data entered into the most up-to-date data I can use is Minute data as the code within the strategy can not use Tick as an input;

(BarsArray[0].Period.Id != PeriodType.Day

I think using tick data would greatly decrease the slippage but this is apparently not an option.

You could add a tick data series or make the primary chart a tick chart

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?add3.htm

Example
Add("ES 06-13", PeriodType.Tick, 1);//would add a 1 tick chart

That being said if you're calculations are generated at the same time it will not matter what kind of chart you enter on as they will still be sent at the same time.

Adding tick bars to a strategy that has COBC = true is often used to enter intrabar or to backtest entering intrabar: http://www.ninjatrader.com/support/f...ead.php?t=6652

This would let you check the period of the bars inprogress: http://www.ninjatrader.com/support/h...arsperiods.htm