Market Replay Slippage

[reynoldsn]

When back-testing a strategy on market replay, how do i configure slippage?

[NinjaTrader_ChelseaB]

Hello reynoldsn,

The playback connection plays back market replay data (or historical tick data) as real-time not as backtest. Historical data does load on the chart before the real-time data begins playing back, but the playback itself is real-time not backtest.

Unfortunately, the Sim101 and Playback101 accounts cannot have slippage applied the way that backtest (historical) can have slippage applied.

You can enforce partial fills if this helps.

https://ninjatrader.com/support/helpGuides/nt8/index.html?options_trading.htm#UnderstandingTradingProperties

[reynoldsn]

Hmm...can you clarify --

I'm using this in OnStateChange()

Slippage = 1.5;

Then I open a chart and select my strategy and I see this in Properties:



i.e. slippage applied to playback.

Are we talking about the same thing?

[NinjaTrader_ChelseaB]

Hello reynoldsn,

This is the Historical fill processing.

"Sets the amount of slippage in ticks per execution used in performance calculations during backtests."

https://developer.ninjatrader.com/docs/desktop/slippage

Playback plays back in real-time.

https://support.ninjatrader.com/s/article/Developer-Guide-How-historical-and-real-time-data-is-processed

In State.Historical, when the strategy is enabled, the historical data will process first. Once the historical data is processed then the State becomes State.Realtime and the playback begins playing back in real-time, as if you were magically sent back in time to watch a play out in in real-time. This is not historical or backtest.

Print the State property in OnBarUpdate() with the time of the bar, and allow this to start playing back data and observe the output.

Unfortunately no, the Historical Slippage property does not apply to playback.