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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 (1)
#1
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Jan 24, 2017 - 08:26
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