slippage and limit order..

[zachj]

Would using EnterLongLimit(0,true,1,GetCurrentBid() + TickSize,"");

be the same as using...

EnterLongLimit(0,true,1,GetCurrentBid(), ""); and using a slippage of 1?


Basically does GetCurrentBid() + TickSize account for slippage of 1

[NinjaTrader_Bertrand]

zachj, there would be no slippage on a limit order, you either get your price specified or you won't. For backtesting you need to consider GetCurrentBid / GetCurrentAsk will use Close price data, where as in realtime you will see whatever values the inside market has at the time.

[zachj]

What is the most common or best way to try to come closest to live market action when backtesting. Am I better off just using EnterLong() and 1 for slippage or using a limit order(realizing it's going to use close price when Back Testing).

[NinjaTrader_Bertrand]

zachj, most accurate would be using bid / ask tickdata to submit your orders to for backtesting. Limit orders would always run the risk though of not getting filled, so using Market orders with appropriate slippage would be a good alternative. In the end it would be important your avg trade has enough cushion for costs.

[zachj]

One other question.. when I choose 1 tick for slippage is this for the entry and the exit?

[NinjaTrader_Bertrand]

zachj, that would be per execution. So if you enter and exit market - each would get a tick.

[zachj]

What if I have 2 enter longs...
EnterLong(0, 1, "EnterLongA");
EnterLong(0, 1, "EnterLongB");

Will the slippage of 1 take care of each execution or do I need to change the slippage to 2?

[NinjaTrader_Bertrand]

No need to increase slippage here, it would be for each execution.