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Slippage in historical tester mode
robot3096
 Post subject: Slippage in historical tester mode Post rating: 0   New post Posted: Fri 08 Mar, 2013, 13:34 

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Joined: Tue 05 Mar, 2013, 16:07
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Hello,

is the slippage parameter used when running a strategy in historical testing mode?

I submit STOP ENTRY orders with various slippage values (5, 2, 1, 0 pips and Double.NaN) and notice that trades are often filled with some slippage. Indeed the trade list is identical and the same amount of slippage occurs in all cases I tried. I presume that this is a feature of the historical testing environment. My account is a DEMO account.

Could you please shed some light on why this behavior is observed? How is it possible to test the effect of slippage in a historical test? Thanks!
 
API Support
 Post subject: Re: Slippage in historical tester mode Post rating: 0   New post Posted: Mon 11 Mar, 2013, 09:30 
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Joined: Fri 31 Aug, 2007, 09:17
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robot3096 wrote:
Could you please shed some light on why this behavior is observed?
Historical tester aims to replicate both the maket conditions and the order execution as close as possible to the real-time trading.
robot3096 wrote:
How is it possible to test the effect of slippage in a historical test?
Test over a volatile historical period.
 
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