Slippage Multicharts per contract

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FutureTrader
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Slippage Multicharts per contract

Postby FutureTrader » 29 Aug 2014

Hi,

I've set the "per Share/Contract" slippage for e.g. 12.5$ (ES trading)

having 30 trades with 10 contracts, I expect slippage to be:

(30*10*12.5)*2 = 7500

but multichart is calculating slippage per contract/share as follows:
(30*10*12.5) = 3750


TS calculates slippage as in the first example. You have slippage per entry and exit, so *2 ...

Is this the desired behavior of MC?

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Henry MultiСharts
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Re: Slippage Multicharts per contract

Postby Henry MultiСharts » 29 Aug 2014

FutureTrader,

By 30 trades you mean 15 entries + 15 exits, or 30 entries + 30 exits?

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Re: Slippage Multicharts per contract

Postby FutureTrader » 29 Aug 2014

30 trades are 30 entries and 30 exits.

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Re: Slippage Multicharts per contract

Postby MAtricks » 29 Aug 2014

Are your entries Limit orders or Market orders? If I'm not mistaken, the slippage setting doesn't apply to Limit orders. However if you're referring to slippage, but using the Commission tool, disregard this.

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Re: Slippage Multicharts per contract

Postby FutureTrader » 05 Sep 2014

Are your entries Limit orders or Market orders? If I'm not mistaken, the slippage setting doesn't apply to Limit orders. However if you're referring to slippage, but using the Commission tool, disregard this.
Entry was at market and exit at profit limit. So this makes sense that there is no slippage at a limit order. I just compared the performance results from TS and multicharts and as it looks TS is using slippage regardless of the order type and multicharts is using slippage just on market orders.
And yes I was using the Strategy Properties -> Properties -> Slippage field.

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Re: Slippage Multicharts per contract

Postby Henry MultiСharts » 08 Sep 2014

Slippage is not calculated for stop limit and limit orders as there is no slippage when such type of order is filled at broker. Limit order can be filled at the specified price or better price.
Now slippage is calculated for market and stop orders. It is deducted from profit.

Here is how to enable the spillage for all order types:
In the registry editor please go to HKEY_CURRENT_USER\Software\TS Support\MultiCharts64\StrategyProp
Change the value of "UseSlippageForAllTypes" key to 1.
1 = slippage for all orders
0 = slippage for market and stop orders only


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