Commision and slippage

[fernlicht]

Hi Forum,

in the commission template the minimum commission counts per trade or per round trade?
If I would like to insert a 2 pip slippage in the strategy analyzer for FX do I need to put 2 or 20?
Is the slippage per trade or round trade?

Thanks

[NinjaTrader_Jim]

Hello fernlicht,

Thanks for your post.

Please see the Notes from the Working with Commission Templates section of the Help Guide.

Notes:

1."Minimum Commission" is applied per trade and per side, regardless of trade quantity, but is only applied if the total applied "per-unit" commissions are less than the minimum value. "Per-unit commission" applies to each unit in a trade, and is applied per-side.

2.When configuring Forex instrument types, "Per-unit commission" should be divided by the accounts FX lot size per trade. For example, if your commissions were $0.06 per 1000 FX lot, you would use "0.00006" as the Per-unit commission value (e.g., 0.06 / 1000)

https://ninjatrader.com/support/helpGuides/nt8/index.html?adding_per_instrument_commissi_2.htm#ManagingCommissionsPerInstrumentType

This would be in currency figures and would not be in pips. If you would like to have commissions that equate to 2 pips, then you must enter in currency amounts that equate to that many pips, per instrument. You could use the Ruler Drawing Tool to measure pip distance and the currency equivalent.

Slippage in the Strategy Analyzer is applied in ticks, per execution. (I.E. each side of a trade) If you simulate slippage inside the commissions template, you would not need to use the Slippage option since the "slippage" would already be added from commissions.

We look forward to assisting.

[fernlicht]

OK, thanks. As you surely know

when trading FX Spot, pips and not ticks. That's why I wanted to make sure that I put the right values in.
Could you be specific on that, please? When I want to add 2Pips per trade side (4Pips per round trade), do I need to put in 2 or 20 in?
Thanks in advance

[NinjaTrader_Jim]

Hello fernlicht,

You would not add values in pips. Each instrument's value in pips would need to be converted to currency, and that is what would be entered for that instrument's commission.

You can use the Ruler drawing tool on a forex chart to measure 2 pips and then you can open the drawing tool's properties by double clicking on it to change the unit to currency. That currency value would then be entered in the commission template to add that many pips of 'slippage.'

For example, EURUSD has a currency value of $2 for 2 pips, and if we wanted to have 2 pips of slippage added to each side of the trade for a 1000 micro lot, we would use a per-unit commission of 0.0002.

[fernlicht]

Ah, now I got it, thanks.
In the strategy analyzer, there is also a slippage field in the historical fill processing section. Can I not just use that instead?

[NinjaTrader_Jim]

Hello fernlicht,

Slippage is applied in ticks in the Strategy Analyzer and slippage is clamped to never exceed the size of a bar used to fill the order. If that satisfies your requirement, you are welcome to use that instead.

https://ninjatrader.com/support/helpGuides/nt8/?slippage.htm

[fernlicht]

That would mean if I would like to add 2 FX Pips I would need to put in 20?

[NinjaTrader_Jim]

Hello fernlicht,

Yes, a forex pip would be 10 ticks. One tick of movement on as standard 100,000 is $1 when one pip of movement on a standard lot of 100,000 is $10.

Keep in mind that in the Strategy Analyzer, the Slippage figure in the Summary grid is presented in ticks.

[fernlicht]

Ok, thanks for the confirmation and I guess this slippage is added or substracted to each side? So, for a round trade it would be +|- 4pips max or something inbetween?

[NinjaTrader_Jim]

Hello fernlicht,

Yes, slippage is applied to each execution of a trade. 20 ticks of slippage would mean a maximum of 2 pips of slippage per side. Note that slippage will not exceed the price levels of the bar used to fill the order.