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Slippage with order fill resolution set to 'High'

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    Slippage with order fill resolution set to 'High'

    Hi,

    Slippage with order fill resolution set to 'High' - it does not appear to do anything at all other than report the total slippage into the summary when running the strategy analyser. Is this expected? I would expect it to be affecting the monetary values.

    The docs state

    "Set the amount of slippage to apply to market / stop market order executions (default is 0)"

    But, that does not appear to be happening here. You can run the report with slippage set to zero, run it again with it set to 8, and the return is the same. Only the 'slippage' count in the report increments. So, it seems useless....? This does not occur if order full resolution is set to standard. I can perhaps see the (broken IMO) logic behind giving exact fills when using tick resolution, but by the time your order has got to the exchange and executed @ mkt, it's still going to slip. Quite a lot in some cases. I think this is another high resolution fill bug?

    #2
    Hello pjsmith,

    Thank you for your note.

    There was a change between NT7 and NT8, in that order fills are restricted to the High/Low of their bar. This is why you are not seeing it applied on a tick chart.

    I agree with your use of the word useless and will add your vote to SFT 1137, Customizing Fill Engine Behavior / Adding Fill Engine Options, which would resolve not only the issue you bring up, but several others.

    Anyone else interested in this SFT please reply to this thread asking for your vote added to this important SFT.

    Please let us know if you need further assistance.
    Alan P.NinjaTrader Customer Service

    Comment


      #3
      yes im interested too

      Comment


        #4
        Thank you, memonic, voted added as well.
        Eric B.NinjaTrader Customer Service

        Comment


          #5
          Vote, because why not.

          Comment


            #6
            Thanks, demo166130, your vote has been tracked.
            Eric B.NinjaTrader Customer Service

            Comment

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