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Autotrading Slippage compared to Replay
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Autotrading Slippage compared to Replay

  #11 (permalink)
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DJ,

Thanks but I have no idea about the "Better Renko's" you mention and as I am not yet a elite member of the site I can't see the link data you provided.

I am working on lots of strategies at the moment and Renko's have fallen to the back burner as the backtesting results can not be believed.

Thanks again for helping.

Gary

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  #12 (permalink)
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Does anyone have a good indicator that will show slippage (entry & exit signal price vs filled price with some kind of daily accumulation summary on the chart for each instrument and also a daily total)? If there is not something out there I think it would be great for someone to look into...

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  #13 (permalink)
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birdoggg View Post
Does anyone have a good indicator that will show slippage (entry & exit signal price vs filled price with some kind of daily accumulation summary on the chart for each instrument and also a daily total)? If there is not something out there I think it would be great for someone to look into...

For an automated strategy, you would simply record the current Bid, Ask or Last depending on what you want to measure against, and record your actual fill. This could be exported from the strategy in NinjaScript in various ways.

Mike

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  #14 (permalink)
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birdoggg View Post
Does anyone have a good indicator that will show slippage (entry & exit signal price vs filled price with some kind of daily accumulation summary on the chart for each instrument and also a daily total)? If there is not something out there I think it would be great for someone to look into...

This would be easy if you had coded your own NinjaScript strategy. In your strategy you know your entry signal price (most likely the close of the signal bar) and you know your "fill price". It is a simple math problem then to calculate the total per trade and a running total since start of strategy. You can display this on the chart as the strategy runs or send it to the output window.

Trouble is I don't know how someone else's indicator would know your trigger price... as indicators do not know about strategy internals even though they both put things on the chart.

By the way... The original thread here was about slippage on Renko bars and there may not be many responses to your great questions here. Perhaps repost your question in another thread or start a new one if my answer did not help much.

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  #15 (permalink)
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TheGaryGuy View Post
This would be easy if you had coded your own NinjaScript strategy. .

I had someone else to develop strategy on Ninja for me and we all go thru slippage when we scalp,as I had it too, here is my 2 cents to GO LIVE. use smallest value contract like YM, NQ in 1st hour and not CL, as CL moves many ticks in fraction of second, so more slippage. you may to enter and exit with LMT price for CL

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emini_Holy_Grail View Post
I had someone else to develop strategy on Ninja for me and we all go thru slippage when we scalp,as I had it too, here is my 2 cents to GO LIVE. use smallest value contract like YM, NQ in 1st hour and not CL, as CL moves many ticks in fraction of second, so more slippage. you may to enter and exit with LMT price for CL

Thanks emini_Holy_Grail, good input. Any contract with HFTs that frequently attack will bring into focus the importance of not having tight stops or market entries. CL, GC and SI all have this "rapid" characteristic and once a trigger price is hit there may be several ticks of movement before any market order can be filled. Limit orders for entry solve this a bit and may leave you without a trade but at least there is no unexpected slippage on entry. Having a specific price for a limit order exit will also give predictable exits but it makes it difficult to make maximum gains on a nice run. I have been playing with using limit orders for first scale out to make it a no risk trade, then trailing a stop for a full profit (minus slippage) market order exit. I have not run this in real money yet though.. still working on it.

Please keep us informed on the success of the strategy you had built. It is always good to hear of successes for normal retail traders with automation.

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