Do trades placed by an automated strategy include spread?

[Trankuility]

I use NT7 and MBTrading.

Do trades placed by an automated strategy include spread?

For instance, if spread is 2 pips, and a trade from an automated strategy shows a profit of 5 pips, is the profit 5 pips or is it really 3 pips?

Same thing with the net profit field in the summary of the strategy. If net profit field in summary shows a profit of $100 over a period of a month, is it really $100 profit or do I need to subtract spread costs from the $100?

[NinjaTrader_RyanM1]

Hello Tranquility,

The simulated engine in real time fills at best bid / ask depending on direction. (buy or sell). It doesn't take spread into account beyond that.

When you're backtesting, fills are placed at the open of the next bar following the condition, so you're not looking at bid / ask data in backtesting.

http://www.ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

If you want to simulate spread, you can try adjusting the slippage parameter, which fills you at worse prices depending on the slippage specified.

[Trankuility]

So if I wanted the backtest to simulate a spread of 2 pips on each trade, should I set the slippage parameter to 2?

[NinjaTrader_RyanM1]

Slippage is applied per fill, so you would enter a value of 1 to have it apply 2 pips per trade. - Opening and closing fill.

[Trankuility]

I see, thank you.

For a .9 pip spread, will the slippage field allow and correctly calculate a .45 entry?

[NinjaTrader_RyanM1]

No, it can only accept whole numbers. Unfortunately no way to specify .45 pip.