Amount of slippage to use?

[tjendra]

I am backtesting my strategy with commission and slippage included. I will be trading very liquid ETFs such as SPY and QQQQ. What kind of value should I be putting for slippage when I do the backtesting? Just 1?

[NinjaTrader_Bertrand]

There are unfortunately no 'typical' value we can give you as much of is based on experience, trading hours and trading size. On liquid instruments you'll want to test the impact of paying the spread and your broker fees on all trades prior to going live.

[tjendra]

Hi Bertrand, I'm abit new to this, pardon the beginner question. For the ETFs I trade which are very liquid, the spread should be very tight right? Say for example SPY is Bid at 81.21 and Ask is at 81.22. If my orders are always market orders, what would my slippage be and what value should I put in slippage for backtesting?

[NinjaTrader_Bertrand]

You are welcome tjendra - slippage can only be estimated, but for example on your SPY's 1 should be sufficient if you're not really into big sizes.