Programatically set slippage or commissions

Questions about MultiCharts .NET and user contributed studies.
robbob
Posts: 46
Joined: 26 Jan 2013
Has thanked: 2 times
Been thanked: 3 times

Programatically set slippage or commissions

Postby robbob » 07 May 2014

I am attempting to backtest a strategy on a portfolio of futures contracts, however each contract needs to have different slippage amounts, ie I typically see more slippage on Heating Oil than S&P e-minis in live trading and I'd like to reflect this in the backtest. I know of the slippage/commissions setting for the overall strategy, but is there a way to programatically set the commissions or slippage so I can more accurately model the trading costs of the different contracts? I'm using the .Net version of MC.

Thanks,
-Rob

User avatar
Alex MultiCharts
Posts: 194
Joined: 09 Aug 2013
Has thanked: 43 times
Been thanked: 76 times

Re: Programatically set slippage or commissions

Postby Alex MultiCharts » 08 May 2014

Hello robbob.

It cannot be done programatically. But you can place each symbol to a separate strategy and specify the necessary settings for each strategy.

robbob
Posts: 46
Joined: 26 Jan 2013
Has thanked: 2 times
Been thanked: 3 times

Re: Programatically set slippage or commissions

Postby robbob » 08 May 2014

Hi Alex,
this *may* work. I also have a portfolio level stop loss, so if the account equity drops by say 5% in a day then there is a signal that exits all positions in the portfolio.

Will this still work if I put each symbol in its own strategy?

Thanks,
-Rob

User avatar
Alex MultiCharts
Posts: 194
Joined: 09 Aug 2013
Has thanked: 43 times
Been thanked: 76 times

Re: Programatically set slippage or commissions

Postby Alex MultiCharts » 08 May 2014

Yes, it will. The signal should be added into all the strategies and you need to monitor Portfolio_Equity in it. In MultiCharts 9.0 it will be much easier to execute what you have specified.

User avatar
JoshM
Posts: 2099
Joined: 20 May 2011
Location: The Netherlands
Has thanked: 1526 times
Been thanked: 1502 times
Contact:

Re: Programatically set slippage or commissions

Postby JoshM » 12 May 2014

I am attempting to backtest a strategy on a portfolio of futures contracts, however each contract needs to have different slippage amounts, ie I typically see more slippage on Heating Oil than S&P e-minis in live trading and I'd like to reflect this in the backtest. I know of the slippage/commissions setting for the overall strategy, but is there a way to programatically set the commissions or slippage so I can more accurately model the trading costs of the different contracts? I'm using the .Net version of MC.
It cannot be done programatically. But you can place each symbol to a separate strategy and specify the necessary settings for each strategy.
This is a good idea. Let's not lose track of it; here is the accompanying feature request:

MC-1657 - Set commission/commission rules and slippage programmatically.


Return to “MultiCharts .NET”