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.
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.
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