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spread on Ninjatrader
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spread on Ninjatrader

  #1 (permalink)
Just starting out...
Futures Experience: None
Platform: MT4, NT, MC
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Posts: 19 since Sep 2009
Thanks: 16 given, 4 received

spread on Ninjatrader

Since I am new with NT I just wanted to know if NT consider the spread on backtesting. I write scalper and the spread on backtesting is an important point. Where do I enter the spread? in Slippage? in Commission?
Second question. The entered slippage is added on the backtest on every turn, roundturn or just now and then?

Last edited by siscop; September 5th, 2009 at 03:07 PM.
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  #2 (permalink)
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siscop View Post
Since I am new with NT I just wanted to know if NT consider the spread on backtesting. I write scalper and the spread on backtesting is an important point. Where do I enter the spread? in Slippage? in Commission?
Second question. The entered slippage is added on the backtest on every turn, roundturn or just now and then?

You can calculate the spread between Bid and Ask inside your strategy and do something there. If you use the Slippage function of the backtest menu, that slippage is added to every execution.

You might try avoiding the Slippage function and instead use the GetCurrentBid() and GetCurrentAsk() functions inside the strategy itself. Of course, if you star to use Limit orders then a whole new set of many problems will exist within NinjaTrader for backtesting, so I always advise people to use Market orders unless they have a lot of experience and know exactly how to deal with the limitations of backtesting.

Last, I moved this to Programming section.


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