Can't specify slippage for each instrument within one strategy  [SOLVED]

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wilkinsw
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Can't specify slippage for each instrument within one strategy

Postby wilkinsw » 24 Jan 2018

Hi,

I'm hoping to get this feature introduced in MC12 if possible???

https://www.multicharts.com/pm/public/m ... es/MC-1708

My Solution:

-In PT, right click an instrument in a strategy. Click "Format Instruments"
-Simply add a tab here titled "Costs"

Job done!

Seperately: Other user(s) have suggested adding the ability to set slippage/costs in QM. I strongly disagree with this. My real world slippage varies wildly depending on the blend of order types I use for a given strategy. This solution would be awful! But, creating keywords to handle costs for use in the code would work. You could either declare costs in a line anywhere in the code OR,even better, be able to attach it to each and every order, which would be super granular!

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Anna MultiCharts
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Re: Can't specify slippage for each instrument within one strategy

Postby Anna MultiCharts » 29 Jan 2018

Hello, wilkinsw!

Unfortunately the implementation of this feature is not planned for the upcoming version, but our developers might come up with a new commission rule that will work differently for different instruments. Please give an example of 2 instruments and the commission/slippage settings for them.

wilkinsw
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Re: Can't specify slippage for each instrument within one strategy

Postby wilkinsw » 29 Jan 2018

Anna MultiCharts wrote:Please give an example of 2 instruments and the commission/slippage settings for them.


Instrument A: $20 per lot
Instrument B: $10 per lot

regtracer
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Re: Can't specify slippage for each instrument within one strategy

Postby regtracer » 01 Feb 2018

This functionality is especially needed for futures backtesting. Different futures can have different slippages since their tick sizes and bigpointvalues can vary greatly.
For example: Emini S&P can have a slippage of one tick $12.5, while VX futures' on tick worth $50.

wilkinsw
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Re: Can't specify slippage for each instrument within one strategy

Postby wilkinsw » 01 Feb 2018

regtracer wrote:This functionality is especially needed for futures backtesting. Different futures can have different slippages since their tick sizes and bigpointvalues can vary greatly.
For example: Emini S&P can have a slippage of one tick $12.5, while VX futures' on tick worth $50.


And the slippage will vary by strategy used (the mix of order types used).

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Anna MultiCharts
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Re: Can't specify slippage for each instrument within one strategy  [SOLVED]

Postby Anna MultiCharts » 01 Feb 2018

wilkinsw, regtracer,

the feature request was reviewed by our development team and will be implemented in future versions. At the moment it’s hard to tell when this will be exactly. Please follow our Blog to find what new features were introduced in the new versions:
https://www.multicharts.com/traders-blog/
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