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Open Feature request MC-2159

Need slippage settings in Tick for portfolio futures backtesting
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Description

For accurate testing of a futures portfolio, we need slippage setting in ticks instead of dollar amount since each future has a different tick value. For example, Emini S&P 500 has a tick value of $12.5. Slippage is about 1 tick or $12.5. However, Silver future has a tick value of $5 and slippage of $5, which is half of Emini S&P 500. So you can't assume a dollar amount for all futures.

Please add an option like the one in attached image. Thanks!

tick slippage

Comments (3)
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#1
user-offline.png MultiCharts Support
Jan 24, 2017 - 08:26
Please vote for it here: https://www.multicharts.com/pm/public/multicharts/issues/MC-1708/
#2
user-offline.png Will
Jan 24, 2018 - 08:14

I like the idea of defining slippage in ticks. But.....

A) Don't want it to affect the backtests prices of fills....this will be very messy indeed! Simply have it as a cost of execution

B) Fractional ticks should also be possible for fine tuning average slippage costs per fill (e.g. "0.5" if getting 1 tick of slippage about half the time)

#3
user-offline.png marcop
May 03, 2019 - 11:02

I have the exact same problem.It is necessary to be able to set slippage in pips as an alternative to currency

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    user-offline.png regtracer
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