4.6.8 Commissions and Slippage

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As during the live trading, Stop and Market orders are generally filled at a worse price than they were placed. In MultiCharts .NET there is slippage for Stop and Market orders. This parameter is set in Strategy Properties, open the Strategy Properties dialog window and select Slippage field. This parameter can work in two modes: per Contract or per Trade. Slippage does not affect the order execution price, it affects only the trade profit (entry+exit):

For example, we bought 100 contracts with the Market order at the price 12.5 (BigPointValue = 10), and then closed the position with the Limit order at the price 12.7.

The profit, excluding slippage, is : (12.7 – 12.5)*100 contracts * BigPointValue = 0.2*100*10 = $200.

If the Slippage is specified $1 per Trade, then the net profit of this trade is $200 - $1 (from the entry, as it is the Market) – $0 (from the exit, as it is the Limit and cannot be filled worse) = $199. If the slippage is set at $0.1 per Contract, then the net profit of this trade will be $200 - $0.1*100 contracts (from the entry, as it is the Market) –$ 0*100 contracts (from the entry, as it is the Limit and cannot be filled worse) = $190. In real trading, the broker and the exchange, as a rule, charge commissions for the trading operations. In MultiCharts .NET trading operations commission charge emulation also exists. Commission charging rule is selected in the Strategy Properties dialog window in the dropdown Commissions list. If there is no necessary commission charging rule in that list, click Manage Commission Rule button and create the new commission rule or edit the existing one. After it, the rule will become available in the dropdown menu. The commission in MultiCharts .NET is always taken from every order, regardless its type (Stop, Limit, Market, StopLimit), when it is filled. Commission does not affect the order filling price but does affect the trade profit (entry+exit), just like Slippage.