Incorrect Slippage Applied

[Zeos6]

Hi,

I have specified a slippage of 2 but a slippage of more than two is being applied during execution. The order quantity is 1.

The trace long states:

=== OnExecution() ===
Slippage = 2
execution.Order.StopPrice = 1138.4
execution.Order.AvgFillPrice = 1138.7

Is there any reason why this could happen? Any ideas would be greatly appreciated. Thank you.

[NinjaTrader_CalH]

Hello Zeos6,

Thank you for your post.

Do you see the same thing happening with any other scripts? Sample MA CrossOver, etc

Can you please provide a screenshot of back test results, specifically of the chart and where this execution took place?

To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file. Click Reply -> Go Advanced -> Click the Paperclip icon on the toolbar

For detailed instructions please visit the following link

http://take-a-screenshot.org/

[Zeos6]

Hi Cal,

Here is the image requested.

[NinjaTrader_CalH]

Zeos6,

Was this a StopMarket or StopLimit order that was submitted?

[Zeos6]

Hi Cal,

The entry order was:
EnterShortStop()

[NinjaTrader_CalH]

Zeos6,

This is what the FillType is looking for. The FillType looks at the next bar and for a StopMarket Buy order;
if the stop price is less than the next open, it will find which value is small between, the high or the open + the slippage amount. In this case the high, which is also the open, is the smaller value and thus got filled at that price.

You can view how the FillType works by going to (My) Documents -> NinjaTrader 7 -> bin -> Custom -> Type and checking the @DefaultFillType

Let me know if I can be of further assistance.

[koganam]

Hi Cal,

The entry order was:
EnterShortStop()

You used a Market Order. That means that you will almost always have what looks like additional slippage, but is really just the effect of market dynamics and the bid/ask spread. I am assuming that your instrument has a bid/ask spread of 1 tick?

[Zeos6]

Thanks for the explanation Cal. It makes sense, especially as there is a 4 tick gap between the bars. The 1138.6 is the low for the bar on which the order is filled, and 1138.7 is the high, and the open. Thank you for the clear explanation. I will check out the FillType code in more detail.

[Zeos6]

Hi koganam,

Thank you for your reply. Yes, the bid/ask spread is 1 tick.