Slippage not working when using Strategies with an intrabar granularity

[GARZONJ]

I am using the strategy found in https://ninjatrader.com/support/help...ipt_strate.htm which shows you how to enter orders using a secondary timeframe in a more granular manner.

When I use the strategy's slippage parameter it does not work. From my testing using the script that Ninjatrader has provided on the webpage, if I change the
EnterLong(1, 1, "Long: 1min");
statment to
EnterLong(0, 1, "Long: 1min");
then the slippage logics works. It looks like the slippage logic only works when submitting order using the primary data series. Is there a way to overcome this limitation?

[GARZONJ]

Is the solution to use another type of order in which I apply the slippage parameter myself?

[NinjaTrader_Jesse]

Hello GARZONJ,

What series is the secondary series? Slippage can be applied but will not always be applied if it would not work into the historical fill algorithm for that use case. You can see this happen when changing from a larger secondary series to a smaller one, the larger series we may see slippage where the smaller we may not.

I tried this test on my end with a 5 minute secondary and can see slippage being applied, using a smaller series like 25 tick there is no longer slippage for the test period.

I look forward to being of further assistance.

[GARZONJ]

Got it!

Based on the documentation found in this link https://ninjatrader.com/support/help...fill_logic.htm , the algorithm to fill historical orders NEEDS the second data series to be "large" enough to execute algorithm's logic. I was using 1 tick as the secondary series time frame. Due to its granularity, apparently the algorithm cannot add slippage. Once I change it to a "larger" period/timeframe, the slippage functionality began working.

Thank you for your observation.