ExitOnClose and Slippage

[Santi]

Hi!

I think that ExitOnClose (NT7) orders don´t apply the slippage I set in the strategy analyzer... this is terrible, since half of the trades exit on close. Is this true? Can I expect to have the same price in real time? How do you calculate the exit price in ExitOnClose backtesting?

Thanks.

[NinjaTrader_CodyB]

Hello,
ExitOnClose submits a market order to close the position this means that when you are backtesting it will fill the order based around what the strategy analyzer would have as the market price. If you are wanting to have slippage applied you would need to disable ExitOnClose and use logic to close your order using your own order submission logic. You could achieve this by using a time filter. You can view a reference sample on time filters at the following link: http://ninjatrader.com/support/forum...ead.php?t=3226
If we can be of any other assistance please let us know.

[Santi]

As you say... "ExitOnClose submits a market order". If I optimize a strategy with 2 ticks of slippage for market orders, I can´t understand why you don´t apply this slippage to ExitOnClose orders!

Now I have 30 optimized strategies with false statistics, and I have to modify the code and optimize again all the portfolio... :-(

P.D.: This afternoon in the strategies development meeting of our firm, the MultiCharts department were laughing about us... O_o