I have a a Spread strategy where I am going long one instrument and shorting another. So I am creating a synthetic spread and trading that. ie instrument 1 - (instrument 2 multiplied by 2) = Spread price.
The issue I am having is the spread price is being created at the end of the bar, on the close,but the actual positions are being put on the next bar, which is causing some major slippage.
i.e. I have a bar closing on the 3rd of december which is giving me a spread price of 109.8 but the positions are not being put on until the next bar which has a spread price of 109.11, so I am entering the spread 2 ticks worse.
The other thing that is making the issue worse is that I can not have tick data entered into the most up-to-date data I can use is Minute data as the code within the strategy can not use Tick as an input;
(BarsArray[0].Period.Id != PeriodType.Day
I think using tick data would greatly decrease the slippage but this is apparently not an option.
Does anyone have any ideas on what I can do to reduce the slippage?
Kind Regards,
Ravi
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