How to adjust slippage in Market Replay?

[nitroblower]

Hi,

I'm using market replay for testing a forex strategy but I see that there is something like a 3 pips slippage for each trade. That is way too high as I can get 0.5-1.0 pip with my broker.

How can I tell NinjaTrader to use a lower slippage?

Thanks.

[NinjaTrader_PatrickH]

Hello nitroblower,

Thank you for your post.

There is no means to control the slippage in Market Replay. The slippage is based on the spread between the bid and ask for forex fills.

[nitroblower]

Hi Patrick,

I don't understand why with my broker (Interactive Brokers) I can let's say buy at market EURUSD and get a 0.5 pip slippage when I try doing the same with Market Replay and end up getting a 3 pips slippage while I'm using the data downloaded from my broker and taking the exact same trade at the exact same time.

Any idea?

[NinjaTrader_PatrickH]

Hello nitroblower,

Thank you for your response.

Market Replay data is not the same as the downloaded historical data as your data feed provider. Replaying Market Replay data can result in differences.
Do you record your Market Replay data or download the data through File > Utilities > Download replay data?

[nitroblower]

Patrick I do download the data through the File > Utilities > Download menu. I guess I wrongly assumed that this data was coming from my broker since I am connected to IB when I do the downloads.

Please see attached. This week on Sept 6 at 9:19:51 ET, I bought EURUSD in my IB account and got filled at 1.11631. Then I downloaded replay data for the day and replayed the price action. At the exact same 9:19:51 ET, Market Replay is showing a current price of 1.1162 with an ask price 2 pips higher at 1.1164. This is unrealistic for such a widely traded pair. I then buy at that very time and get a fill at 1.11645 which puts me 2.5 pips in the hole right off the bat. That is not what happens in reality.

Is there something I do wrong here?

[NinjaTrader_PatrickH]

Hello nitroblower,

Thank you for your response.

You are not doing anything wrong. Different data providers use different market sources for their forex data, this is just the nature of the forex market.

Downloading Market Replay data means you are downloading forex data from a different source and not Interactive Brokers. I would recommend to record the data instead if you wish it to match that of Interactive Brokers. To record Market Replay data go to Tools > Options > Data > enable the option 'Record for market replay'. This will record all live data you receive, so any data for instruments you have open in charts for example.

[nitroblower]

Thanks Patrick I'll try that.