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Range Bars, Slippage and Total Net Profit?

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    Range Bars, Slippage and Total Net Profit?

    Hello

    I have a strategy that uses 60 tick range bars on the NQ and EnterLong, EnterShort, ExitLong, and ExitShort for orders.

    I'm using 1-tick High Resolution order filling, which appears to negate slippage as noted here: https://ninjatrader.com/support/foru...age#post846432

    Using Standard Order Fill Resolution with 1 tick of slippage results in a 57% lower Total Net Profit vs 1-tick High Resolution order filling, which seems a bit drastic, but maybe I'm wrong and that is realistic.

    My question is for my scenario with range bars, what would be the best settings to use to get at least semi-accurate slippage included?
    Last edited by calebsandfort; 10-20-2020, 02:32 PM.

    #2
    Hello calebsandfort,

    Thank you for your post.

    When testing a strategy using the Strategy Analyzer, Standard Order Fill Resolution must be used in order to include slippage.

    If you are using High Order Fill Resolution to submit an order to a 1-Tick series, the order will be placed between the high and low of each tick. This means that there is no room for slippage because you cannot have more slippage than the high/low price of the next bar.

    Please see this help guide for more information about Historical Fill Processing and Order Fill Resolution - https://ninjatrader.com/support/help...lFillAlgorithm

    Let us know if we may assist further.
    Brandon H.NinjaTrader Customer Service

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      #3
      Ok, that makes sense. So what is the point of High Order Fill Resolution? Is it more for time-based strategies?

      Comment


        #4
        Hello calebsandfort,

        Thank you for your note.

        High order fill resolution will allow you to set a secondary bar series to be used as the price data to fill your orders. This allows you to bring in more granular data than you are currently running the strategy on. For example, you may have a strategy that you run on "Daily" bars but then want to bring in "Minute" bars for the historical fill algorithm to be based on.

        The secondary bar series will mimic the 'price based on' setting in your Strategy Analyzer settings. (Ask, Bid, Last)

        Please note, order fill resolution only affects historical orders and does not affect real-time orders.

        Below is a link to a forum post for more details.
        https://ninjatrader.com/support/foru...297#post491297

        Please let us know if we may further assist.
        Brandon H.NinjaTrader Customer Service

        Comment

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