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Slippage saver, Brokers prices
Started:July 21st, 2015 (04:39 AM) by jan123321 Views / Replies:179 / 0
Last Reply:July 21st, 2015 (04:39 AM) Attachments:0

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Slippage saver, Brokers prices

Old July 21st, 2015, 04:39 AM   #1 (permalink)
Trading Apprentice
Prague/ Czech Republic
Futures Experience: Advanced
Platform: MTCH, TS
Broker/Data: IB, TS
Favorite Futures: TF, EMD, CL
Posts: 8 since Sep 2013
Thanks: 1 given, 3 received

Slippage saver, Brokers prices


Do you have any tip how to save slippages from real-time trading to external txt file from MTCH? Situation is getting complicated as more strategies are trading one symbol, so you cant use functions "avgentryprice_at_broker" etc. It is easy to save close values where you are entering/exiting (intended entries), but how to get brokerage prices?

I see of course the slippage, if put courser on appropriate bar, so this information is surely indoor. Its really crucial information that must be saved and afterwords carried in through back-testing process. But how to get it automatically?

Thank you very much,

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