slipage settings when testing

[KarstenKafl]

Hi there

Im testing a bit different scripts strategies - and right now - im only just testing with simple Micro S&P 500 - just for testing :-)
But - when i run optimzer i can use the slaipage value. But im not completely sure what i should insert for slipage?

Im using Interactive brokers - and im simply unsure if i need to set sliapge to 1 - or 0 or what it acutally means?
I read some explanations but im still unsure - what would be a realistic number to insert here = does it represent spread? which i believe is 0.1 in interactive brokers? *

Hope anyone can help - thanks :-)

[NinjaTrader_Jesse]

Hello KarstenKafl,

We have a few comments about the Slippage property in the help guide, here are the locations for that:
https://ninjatrader.com/support/help...lFillAlgorithm (scroll to bottom of section)
https://ninjatrader.com/support/help...ndOrdersFilled (Note in bottom of section)

The slippage is a part of the fill logic in the backtest however I couldn't say what would be a good amount here that would really depend on what you see in reality when using the live account. I could suggest to try and make note of the slippage you see in real trades and then use a value similar to that. You could also research the instruments you trade and what other traders have experienced.

If you are not certain about what slippage is in general I would suggest doing some research in public trading resources like investopedia, you can just do a general search for "slippage trading definition" to get a lot of results. Here's a link to the public investopedia page on that term: https://www.investopedia.com/terms/s/slippage.asp

I look forward to being of further assistance.

[KarstenKafl]

Thank you Jesse

Can i see the slipage/spread on the real orders i made so far - inside ninja trader - or can i only see it in the interactive broker?

Then - one more question - do you know if it is possible to do the actual optimization - with tick - instead of minutes - even though im using interactive Brokers? - as far as i understand it does not have historical tick data - but im simply not sure if the optimization can do it anyways?

Thanks

[NinjaTrader_Jesse]

Hello KarstenKafl,

To view slippage you would generally need to view the brokers report to see what the order was filled at. you can compare that versus the submission prices to know what the slippage was. You can also view the filled price in the platform and compare that against the submitted price.

If you can get historical tick data in some way you can use that tool. It would require tick data if you wanted to build tick charts. You could import data as one option here.

I look forward to being of further assistance.

[KarstenKafl]

Hi Jesse

Thanks again for your reply.

I user IB - so they dont provide historical tick data. (i assume they provide realtime tick) but i think i read in the forum - that ninja trader had one year of tick data that i could access? that it was supposed to get when i ran the analyzer/optimization. But im not completely sure how to get that. And im not sure if it is still avilable vioa ninja trader servers? - and i dont know if/how i have access to that server?.

So do you know how i can do that?

Or - is there a way to setup two connections - and then using either playback or kinetick for the historical data?

Thanks.

[NinjaTrader_Jesse]

Hello KarstenKafl,

Some providers offer tick data, I am not certain what you read to provide details there however this depends on each provider for what they offer and how far back it goes. You can find a breakdown of which providers offer historical data here: https://ninjatrader.com/support/help...htsub=provider

You can connect to the playback connection to download playback data from the NinjaTrader servers however that is not specifically used with a backtest.

I look forward to being of further assistance.

[KarstenKafl]

Hi Jess

Thanks again.

so that means that i can connect - with any of the mentioned data providers - form the link you send - like the kinetick - (with subscription) - and then backtest strategies with tick?

Is there any specific setup used for setting that up - when using two connections? - so that i can use IB as broker - and kinetick as data?

Thanks.

[NinjaTrader_Jim]

Hello KarstenKafl,

Yes, if you subscribe to a data feed that provides historical tick data, you can backtest strategies that require tick data.

For setting up multiple connections, and preferred data sources, please see the detail here - https://ninjatrader.com/support/help...onnections.htm

We look forward to assisting.