Slippage setting for Gain Capital?

[bluelou]

I've had 3 instances in 3 weeks where Gain Capital has rejected my automated market orders. I've spoken to their help desk about this. Apparently, when a market order is sent from NT to Gain it is regarded as a quasi-limit order. For example, if the market is at 1.0000 when you submit your automated buy market order and during the few milliseconds that it takes to get to Gain's servers the market has moved up to 1.0010 then Gain will reject the order since they can't fill it at 1.0000.

According to Gain, the way around this is to enable a "slippage" parameter. For traders using Gain's FOREXTrader Pro platform there is a slippage setting that allows for slippage should the market move away from you. My question to NT is where is the slippage setting for live automated trading. As it stands, w/o the ability to allow slippage on a market order my strategy just shuts down all the time since Gain is rejecting my market orders.

Alternatively, is there a way to set an NT strategy so that it doesn't shut down if an order is rejected and it just submits another market order instead?

[NinjaTrader_JoshP]

You can use this: http://www.ninjatrader-support.com/H...rHandling.html

Please only use if you are absolutely certain your code can handle every single error possible. Setting this to TakeNoAction means you have full control over what happens and NT will not protect you in any way.

[bluelou]

Josh,
How about a slippage parameter? Does that exist for a live strategy? I'd prefer to allow Gain some slippage on a market order than to find out my strategy has a critical error.

After all, the only way I'd know for sure that the strategy has no errors is by running w/o RealtimeErrorHandling and seeing what happens. That sounds pretty risky.

[NinjaTrader_JoshP]

Unfortunately there is no slippage parameter possible for market orders. Market orders are submitted and they just go in at whatever the market price is.

[bluelou]

Unfortunately there is no slippage parameter possible for market orders. Market orders are submitted and they just go in at whatever the market price is.

Josh,
Intuitively, what NT is doing makes sense to me. Until I started getting market orders rejected by Gain it never occurred to me that they would regard a NT market order as a type of limit order instead. This market-as-limit order w/Gain + NT basically means that there are no real market order that can be autotraded w/NT + Gain.

Have you heard of any other broker that will only fill a market order if the fill price matches the exact market price when your strategy placed its order? To me, that's a limit order, not a market order. If so, please let me know so I can avoid those brokers.

Also, you may want to warn NT users in your documentation that market orders sent to Gain are not true market orders and that market order cancellations are commonplace.