Unreasonable Slippage

samish18

Senior Member

Join Date: Jan 2024

Posts: 277
#1

Unreasonable Slippage

04-15-2024, 08:59 AM

I am running a strategy on NQ and when comparing the backtest to live, it is executing a different number of orders at different times and when an execution is the same between live and backtest, I am seeing between 6 and 12 ticks of slippage despite using limit orders.
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NinjaTrader_Jesse

NinjaTrader Customer Service

Join Date: Mar 2014

Posts: 16743
#2

04-15-2024, 03:19 PM

Hello samish18,

You can see different trades and slippage in a backtest. You can find details about how orders are filled and common discrepancies in the following links.

Operations > Strategy Analyzer > Discrepancies: Real-Time vs Backtest

https://ninjatrader.com/support/helpGuides/nt8/discrepancies_real-time_vs_bac.htm?zoom_highlightsub=discrepancies

NinjaScript > Educational Resources > Historical Order Backfill Logic

https://ninjatrader.com/support/helpGuides/nt8/historical_order_backfill_logic.htm?zoom_highlightsub=historical
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