Slippage and Commission -- Version 4.0 Beta 2 (Build 1573)
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- Posts: 33
- Joined: 01 May 2007
Slippage and Commission -- Version 4.0 Beta 2 (Build 1573)
Version 4.0 Beta 2 (Build 1573) of MC miscalculates the slippage and commission in backtesting. The amount you enter is not the amount deducted from the trade in the historical results. (Yes; I took into account "per trade" vs "per share/contract" and yes, I took into account that the amount assigned in the Signal Properties is per side.)
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- Joined: 07 Jan 2007
- Location: Lahore, Pakistan
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If not from day ONE, all versions during the last 6 months have got commission and slippage wrong.
For instance:
For emini S&P 500 futures a $0.012 cost input actually means $12.5 OR 0.25 points OR 1 tick.
For Euro futures a $0.0001 cost input actually means $25.0 OR 0.0002 points OR 2 ticks.
Khalid
For instance:
For emini S&P 500 futures a $0.012 cost input actually means $12.5 OR 0.25 points OR 1 tick.
For Euro futures a $0.0001 cost input actually means $25.0 OR 0.0002 points OR 2 ticks.
Khalid
Re: Slippage and Commission -- Version 4.0 Beta 2 (Build 157
Please report this issue here: http://forum.tssupport.com/viewtopic.php?t=5493Version 4.0 Beta 2 (Build 1573) of MC miscalculates the slippage and commission in backtesting. The amount you enter is not the amount deducted from the trade in the historical results. (Yes; I took into account "per trade" vs "per share/contract" and yes, I took into account that the amount assigned in the Signal Properties is per side.)
- Marina Pashkova
- Posts: 2758
- Joined: 27 Jul 2007
Hi Khalid,If not from day ONE, all versions during the last 6 months have got commission and slippage wrong.
For instance:
For emini S&P 500 futures a $0.012 cost input actually means $12.5 OR 0.25 points OR 1 tick.
For Euro futures a $0.0001 cost input actually means $25.0 OR 0.0002 points OR 2 ticks.
Khalid
Have you tried the 4.0 beta 3 version? It calculates slippage correctly now. However, if you notice any other issues with its calculation, please do let us know.
Regards.