Slippage not applied in some trades

[joanrocagas]

Hi,

I'm trying to understand how slippage gets applied. I'm comparing the same trade with 1 tick slippage and without but the entry market order, even having room in the bar for the price get slippage, it doesn't get applied.
Why is that? I can see other trades with slippage applied, but not to all of them.

See the pics attached.

[NinjaTrader_PatrickH]

Hello joanrocagas,

Thank you for your note.

Are the Buy and Sell market orders, stop market orders, or limit orders? What price are the orders submitted to if not market orders?

I look forward to your response.

[joanrocagas]

all market orders

[NinjaTrader_PatrickH]

Hello joanrocagas,

Thank you for your response.

Based on the information we have on this so far there is no reason this should occur. May we test the strategy on our end?

You can send the strategy to platformsupport[at]ninjatrader[dot]com with 'ATTN: Patrick H' in the subject line and reference to this thread.

You can export your strategy by going to Tools > Export > NinjaScript Add On > Add > select your strategy > OK > Export > name the file 'NTsupport' > Save. The file will be located under Documents\NinjaTrader 8\bin\Custom\ExportNinjaScript.

I look forward to your response.

[NinjaTrader_PatrickH]

Hello joanrocagas,

Thank you for your patience.

The fill for the Buy Market is correct even with the Slippage applied. The Slippage will be applied to the Buy Market if the Open is lower than the High and the bar can support the Slippage. If so, the Slippage is applied to the Open going up in price.

When reviewing your screenshot we can see the Open is lower than the High and that the Open + 1 tick Slippage could have occurred. However, NinjaTrader 8 implements a Virtual Bar building technique for more "realistic" fills on historical bars.

The Virtual Bar building would build the bar in this case first from Open to Low, as the Open meets the Buy Market but would be the High of the Virtual Bar we do not see the fill plus Slippage.

You can find more details on this at the following link: http://ninjatrader.com/support/helpG...lFillAlgorithm

Please let me know if you have any questions.

[joanrocagas]

Thanks Patrick.

Now I got it.