Stategy Analyzer Slippage

[kevinenergy]

Just wanted to report an additional bug with the Strategy Analyzer. The Slippage value provided to the optimizer doesn't seem to have any effect whatsoever on the results aside from the "Total Slippage" value. All other values are identical; even running the strategy with Slippage:100 makes money!

[NinjaTrader_ChelseaB]

Hello kevinenergy,

May I confirm that the Order Fill Resolution is set to Standard?

Are you able to reproduce this behavior using the SampleMACrossOver included with NinjaTrader?

[kevinenergy]

Hi Chelsea.

No Order Fill resolution is set to High (1-Tick). Surely adding slippage with Order Fill Resolution: Standard is completely pointless; since the fill price isn't accurate anyway?

Yes I tested it with the SampleMACross and got the same behavior.

[NinjaTrader_ChelseaB]

Hello kevinenergy,

If Order fill resolution is set to high with 1 tick, it will be using a 1 tick series for order fills. The order must be within the high and low of each tick. This means the slippage will do nothing. Try using the Standard Order fill resolution.

[kevinenergy]

Ok, I assumed it would just add the slippage amount on to every market order fill. If I use High (2 Tick) order fill resolution, can I get 2 ticks of slippage?

[NinjaTrader_ChelseaB]

Hello kevinenergy,

That would depend on if the two ticks that make up each bar of the high resolution data are at different prices. But yes it is possible.