I have a strategy that reports 93 as the value of TotalSlippage for a strategy on EMD with 527 trades. I would have expected a total slippage of something like $10,000 since each tick corresponds to $10.00 and we would lose 1 tick at the entry and 1 at the exit.
var totalSlippage = SystemPerformance.AllTrades.TradesPerformance.Tota lSlippage
var entrySlippage = SystemPerformance.AllTrades[i].Entry.Slippage; var exitSlippage = SystemPerformance.AllTrades[i].Exit.Slippage;
The documentation says that execution slippage and total slippage are reported in ticks. Yet, these values are not an integer number of ticks, they seem to be a sum of tick sizes. For EMD, the tick size is ten cents. It appears slippage is being reported as a multiple of the tick size rather than as the number of ticks.
Trades: 527
Total Slippage: 93
Total Entry Slippage: 52.7
Total Exit Slippage: 40.3
Is this a correct observation? Can I expect that slippage is always reported as a multiple of tick sizes? So that if I wanted the actual number of ticks I would divide by the tick size. Or if I wanted the dollar value of slippage I could just multiply TotalSlippage by the point value?
Thanks,
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