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spread on Ninjatrader


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spread on Ninjatrader

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siscop
germany
 
Posts: 19 since Sep 2009
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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?

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 Big Mike 
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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.

Mike

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Last Updated on September 5, 2009


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