Slippage for MCL Futures - futures io
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Slippage for MCL Futures


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Slippage for MCL Futures

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  #1 (permalink)
 gftrader 
Cleveland, Ohio
 
Experience: Advanced
Platform: Tradestation
Trading: Futures
 
Posts: 14 since Aug 2022
Thanks: 6 given, 3 received

Hello,

I created a strategy for MCL (Micro Crude Oil Futures) and am trying to backtest with the correct slippage per contract. My strategy only trades from 8 am EST to 11 am EST, so liquidity is much better than in the afternoon.

Anyone with experience know what a good slippage $ amount per contract would be for MCL? I know the best way to test it is actually let it place live orders in your sim account, but figured I would backtest first.

Thanks in advance!

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  #2 (permalink)
 blackgrey45 
Marco Island, FL
 
Experience: Beginner
Trading: MES, MCL, M6E
 
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There is usually a 2 tick bid/ask spread for the MCL, which translates to 1 or 2 tick slippage.

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 kevinkdog   is a Vendor
 
 
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Welcome fellow CLE resident!

I would use 2 ticks per side. A bit conservative, but that cushion is good for a few reasons.

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 gftrader 
Cleveland, Ohio
 
Experience: Advanced
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mendal View Post
I trade MCL live from 8-11 am est using a robot program and I use entries that are limit orders not market orders. So consequently there is no slippage but there are some 11% no fills. Also I trade on ninja and it is well established that the fidelity of back testing with ninja is restricted

Hey thanks for the reply. Any way you could send me the code for the robot you use in ninja? I have been working to convert my easylanguage code to ninja script, and Iím curious as to how yours is set up. Iím not great with ninja script. DMs are open as well.

Really appreciate the reply. Thanks!

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 gftrader 
Cleveland, Ohio
 
Experience: Advanced
Platform: Tradestation
Trading: Futures
 
Posts: 14 since Aug 2022
Thanks: 6 given, 3 received


mendal View Post
you need the targets trading pro bot first.... before the code.

I believe thatís just a simple 8/21 EMA cross that heís selling for $3000. Iíve heard thatís a huge scam tbh

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