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it is crucial to make nt calculate slippage f every execution when trading automated.

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    it is crucial to make nt calculate slippage f every execution when trading automated.



    people with nt,



    it took me a very long time. it was all the way back in september of last year that i started to convert some indicators and strategies i have developed into ninjascript and after having to fix numerous malfunctions with the platform and having to jump through the numerous hoops nt brokerage forces clients to go through it was only this weekend that i finally was able to begin trading automated with nt with real funds.


    however, even after months of coding and evaluating on simulator i have no idea how bad slippage can be with nt brokerage for the two contracts i'm interested in (m2k and mnq). and there is no reason why this should not be the case at all, nt is a very advanced platform that already has all the capabilities and components it needs to calculate slippage for every automated entry and exit with absolute precision.



    slippage when trading strategies automated (specially when trading with real money) consists of the difference between the price at which an order was executed - filled and the price for the instrument (close of bar or last) at the moment the strategy made the decision to make this entry or exit.


    the biggest part of slippage costs results from jumping the bid - ask spread every time with a market order as this is necessary to ensure instantaneous executions and for most strategies to function appropriately. additional slippage ticks will also result from the delay in data being sent from the exchange, to the data provider, to the strategy and then orders from the strategy to the broker and to the exchange. significant latency can result in some slippage ticks against a strategy but the slippage generated from jumping the spread is always larger and more relevant.


    nt has several capabilities that should be more than enough so that the platform can automatically monitor and calculate slippage for every entry and exit. right no nt can identify every individual order it generates, can trace them, it perfectly knows which strategy generated every single order, it can identify every individual position in the platform and associate them to the strategy and order that created every position. and it is possible that nt could have even more capabilities that could make the automatic measurement of slippage the easiest thing, i couldn't know as i'm not a programmer and just began using the platform very recently.


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    it is absolutely indispensable to measure slippage costs accurately when trading automated because the lower the slippage incurred per execution per instrument, the faster a profitable strategy can be configured to trade and the larger profits it can accumulate. conversely, elevated slippage means that systems must be significantly throttled so that they can still generate profits. if nt automatically measured observed slippage for every execution and provided reports for these events this would be a feature that would help this product differentiate itself from other far less robust and developed commercially available trading platforms. as far as i can tell, nt already contains all the components it would need to calculate slippage automatically, so it could take mere hours for the people who work with the nt platform to incorporate this enhancement to the product.


    very well, thanks, regards.

    #2
    Hello rtwave,

    Thanks for your post.

    NinjaTrader currently estimates slippage within the bar that is used to fill the order.

    Slippage

    Slippage can be added to your order fills to help mimic real market conditions. The value is expressed in "ticks", the minimum value of fluctuation for an instrument, and is only applied to market, stop-market and Market-if-touched orders. NinjaTrader will add the slippage to each order however you cannot have more slippage then the high/low price of the next bar.
    https://ninjatrader.com/support/help...lFillAlgorithm

    I have submitted a feature request on your behalf so that NinjaTrader can monitor order latency and provide a more robust way to automatically calculate slippage. I will reply back with an internal ticket number when it is available.

    This will be an internal number, but for anyone else wishing to have their interest tracked, please let our support staff know that you would like a vote added for this request.

    We receive many requests and cannot reasonably implement all requested features or changes. Interest is tracked internally and if enough interest is tracked, it would be weighed against how feasible it would be to make those changes to consider implementing.

    I look forward to assisting.
    JimNinjaTrader Customer Service

    Comment


      #3



      thanks.


      i'm talking about slippage for every execution and also average slippage per instrument.


      nt already generates strategy performance reports which include exhaustive trades lists. it would be the easiest thing to add a column to these reports for the observed slippage for every execution as i defined previously. the platform already has all the information it requires for this calculation.


      and the average observed slippage for each instrument would be even more important to calculate as this is a necessary input for any optimization - backtest process. it would be very easy to create a slippage report per instrument or incorporate this average into other existing reports.


      for example, from my extensive experimentation with interactive brokers' simulator and other platforms i have determined that the average slippage for every execution for the m2k contract is around 8 ticks, while it is 16 ticks for mnq. these are the values that i'm using at the moment on the nt platform but i don't know if slippage with nt brokerage could be higher or lower and it would be crucial for me to adjust my strategies accordingly if this value was actually significantly different.


      as i wrote previously, calculating historical slippage has the highest importance for any trader with profitable automated strategies, this enhancement should be very easy for the people at nt who work on the platform and it would be of great help for nt to differentiate their product from the competition.

      Comment


        #4
        Hello rtwave,

        Thanks for your feedback.

        The ticket ID for calculating/estimating slippage has the ticket ID SFT-3089. Your comments are linked within that ticket so they are tracked.

        Let us know if there is anything else we can do to help.
        JimNinjaTrader Customer Service

        Comment

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