NinjaTrader 7 Miscellaneous - Percentage Based Slippage Fill Type
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NinjaTrader 7 Miscellaneous
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Percentage Based Slippage Fill Type
This is different fill type that I use when testing stocks. Whatever you set for slippage in the strategy analyzer will be applied as a percentage.

Ex: If you set 0.005 for slippage, it will apply 0.5% slippage to each transaction.

I find this more useful than the default tick or price based fill types, since this helps normalize the slippage across stocks with a wide range of values. If going long, the slippage is defined as either 0.5% or the next high, whichever is greater (same as the default slippage calc from NT). For low priced stocks, it also applies a minimum of $0.01/share.

Note that for a typical stock, 0.5% is quite conservative. 0.3% would probably even be a bit high (But obviously that depends on your strategy).


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June 20th, 2013
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