Slippage

[U0000999]

Hello, what do you, think which value for slippage is better to set up in a a strategy in a futures trading? How many ticks?

Thanks

[NinjaTrader_Jim]

Hello U0000999,

Thanks for your post.

This is really a subjective question with no direct answer.

Slippage is the result of market volatility and the amount of time it takes for your orders to reach the brokers order routing server and exchange.

When backtesting, there is no added latency for orders to reach their destination, and the there is not a concept of a "position in the order book" where you order may be filled after other orders that were placed before you.

You could measure how much slippage you receive, and use an average, or a highest amount of slippage seen to see how "average slippage" and "highest slippage" on the strategy trades affects the resulting PnL, and this could give you an idea for what could be encountered live, but it is never going to be exact.

It is better to think of the slippage property as "If I have X amount of slippage when trading, I can expect this Y amount of variance with my strategy performance."

We look forward to assisting.

[U0000999]

I think if a slippage could be included in a stop loss? For instance it's a 4 ticks, then I add these ticks to the value of stop loss

[NinjaTrader_Jim]

Hello U0000999,

Yes, slippage would be applied to stop market orders.

From the Help Guide:

Slippage

Slippage can be added to your order fills to help mimic real market conditions. The value is expressed in "ticks", the minimum value of fluctuation for an instrument, and is only applied to market, stop-market and Market-if-touched orders. NinjaTrader will add the slippage to each order however you cannot have more slippage then the high/low price of the next bar.

https://ninjatrader.com/support/helpGuides/nt8/index.html?understanding_historical_fill_.htm#UnderstandingTheHistoricalFillAlgorithm