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Slippage doesn't work on second instrument
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Slippage doesn't work on second instrument
I'm backtesting a strategy on two simultaneous instruments. The secondary has a tick value of .01. No matter what I set the Slippage to it has no effect on the fill price for managed market orders on BarsInProgressIndex=1. Is this a bug? Is there a workaround?Tags: None
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Hello dbooksta,
Currently, we are not able to reproduce these results.
I have been trying to find situations that may make this occur, but so far, nothing I have done can prevent slippage from being applied to a secondary series in a script.
So far I've spent the last few days doing everything I can think of that could possibly affect this without any results.
I have made a video of a simple test to demonstrate how this is working. (This does not include all the small tweaks and additions i've been using to attempt to cause the slippage to not be applied).
http://screencast.com/t/lnmeTsFR
Also, I am including the test script for you to try on your end.
Would you be able to create a video for me demonstrating that the slippage is not being applied to a secondary series similar to what I have made?Attached FilesChelsea B.NinjaTrader Customer Service
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