Questions about slippage using NT8.

[Plaket]

Hi, I have some basic questions about how slippage is calculated on NinjaTrader 8.

1-If I set up a slippage of 1 is that slippage calculated either per execution or per trade (two executions)?

2-If I backtest a strategy setting up 1 in slippage there are a lot of trades in which the slippage is not calculated (even when the price has gone under/above the entry or exit point). What is the explanation?

3-And my last question: I can see on the Strategy Anayler that there is a statistic called “Total Slippage”. Is this result represented in Ticks, Points or Currency? I couldn’t find any information about that in the help guide of NT 8.

Thank you so much in advance.

[NinjaTrader_PaulH]

Hello Plaket,

Thanks for your post.

You post asks about slippage in NinjaTrader 8 and you have posted in the NinjaTrader 7 general development. We will move this thread to NinjaTrader 8 strategy to avoid confusion.

1) Slippage is calculated per execution but only if there is room in the bar for the slippage. "Slippage can be added to your order fills to help mimic real market conditions. The value is expressed in "ticks", the minimum value of fluctuation for an instrument, and is only applied to market and stop-market orders. NinjaTrader will add the slippage to each order however you cannot have more slippage then the high/low price of the next bar. Reference: https://ninjatrader.com/support/help...ical_fill_.htm

2) See note above.

3) This would be in points.

edit: 3/23/18 - Corrected item 3 from Ticks to Points

[NinjaTrader_PaulH]

Hello Plaket,

Just to follow-up.

I need to correct my earlier post by advising that the Summary output of slippage is expressed in points and not in ticks. We will be updating our helpguide to further clarify this.