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 Post subject: Slippage
PostPosted: Mon Mar 25, 2013 10:44 am 
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Joined: Wed Aug 08, 2007 6:32 pm
Posts: 227
Hi,
I have a few questions with regards to slippage.

1. How exactly does the slippage provider in simulation work. Is it a straight 1% off the PnL, in performance?
2. Is there a way to model slippage in terms of ticks instead ie market/limit orders always fill at the price above or below the trade price?
3. Do you any general thoughts on best practise to model slippage more accurately when backtesting. I am using a method by which I require the price to trade above or below the price i which to execute and then fire off a limit order in order to guarantee as much as possible that the system would have been filled. Of course in reality I would just work an order at the execution price. This should ensure that we are modelling conservatively. The downside of this is that it could lead to a change in the systems behaviour since the system can place another trade whilst it has an open position. Do you have any advice on this matter.

Thanks


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