<- Back to Tasks

129 dev 6 MultiCharts - Measure slippage in ticks and not dollars

Normally when I think of slippage, I think of how many ticks in slippage I may get per trade. So for all my testing, I set this to 2. I realize now that it is $2 instead of 2 ticks. Using a $ amount would be fine if I didn't have to go back and calculate the tick value for every instrument which is very annoying. It would be much better to have the option to use the value in ticks for the slippage per trade. I don't mind retesting all my strategies because I missed this originally, however, the need to calculate the tick value for each one for the slippage setting I want I believe should be unnecessary if this value can be changed.



Update 1: changing to bug because I was told it is supposed to be measured in ticks and not dollars. I don't know if the actual calculation is wrong or if it is just being displayed incorrectly. This screenshot is in the builder section under data. Please give clarification.


Update 2: It looks like this only shows up as $ instead of ticks when using the MultiCharts engine in the builder. 

Attachments
Screen Shot 2020-07-29 at 101727 AM.png
Screen Shot 2020-07-29 at 101727 AM.png
(27.34 KiB)
  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

KL
#1

kainc301

29.07.2020 16:21

Task created

h
#2

hankeys

29.07.2020 20:02
from where did you get this picture, beucase i dont see it in the SQX - slippage need to be set in pips and this how it works now i think
KL
#3

kainc301

29.07.2020 20:15
I got it from the builder section under data. Is it different on your end? And if it is supposed to be set in pips then this should be a bug? Do you know if it is actually calculating it in pips and the ui is just displaying the wrong thing? 
KL
#4

kainc301

29.07.2020 20:17

Description changed:

Normally when I think of slippage, I think of how many ticks in slippage I may get per trade. So for all my testing, I set this to 2. I realize now that it is $2 instead of 2 ticks. Using a $ amount would be fine if I didn't have to go back and calculate the tick value for every instrument which is very annoying. It would be much better to have the option to use the value in ticks for the slippage per trade. I don't mind retesting all my strategies because I missed this originally, however, the need to calculate the tick value for each one for the slippage setting I want I believe should be unnecessary if this value can be changed.



Edit: changing to bug because I was told it is supposed to be measured in ticks and not dollars. I don't know if the actual calculation is wrong or if it is just being displayed incorrectly. This screenshot is in the builder section under data. Please give clarification.

KL
#5

kainc301

29.07.2020 20:18

Subject changed from Measure slippage in ticks and not dollars to 129 dev 6 Measure slippage in ticks and not dollars

h
#6

hankeys

30.07.2020 07:17

Attachment slip.jpg added

slip.jpg
slip.jpg
(131.72 KiB)
i dont see any USD in my builder and i have tested it and it works - spread, slippage, min. distance are set in PIPS, not USD, not TICKS


PIP is not the same as TICK - TICK is the smallest move


for currencies 10 TICKS = 1 PIP

KL
#7

kainc301

30.07.2020 08:05
No idea why the dollar sign is in mine. Are you using RC1? 


Also I am trading futures so are you saying for futures it is a whole point? 

h
#8

hankeys

30.07.2020 12:04
i am using only mt engines, not tradestation or multicharts - this will be the reason


for these engines i dont know how the slippage is working - but futures has min. step mostly 0.25, am i right? i dont trade them, only tried some US indices strats, but only for MT5 netted engine

KL
#9

kainc301

30.07.2020 19:39
It looks like this only occurs when switching to the MultiCharts engine in the Builder section under data
MF
#10

Mark Fric

06.08.2020 13:27

Status changed from New to Refused

refused, slippage for MultiCharts and Tradestation engines in SQ are not in ticks/pipc but in in $ because in MultiCharts/Tradestation you can define slippage only in $
KL
#11

kainc301

07.08.2020 02:00

Attachment Screen Shot 2020-08-06 at 75526 PM.png added

Screen Shot 2020-08-06 at 75526 PM.png
Screen Shot 2020-08-06 at 75526 PM.png
(461.66 KiB)
Hey Mark, a few questions about this.


1. Is this $ per standard lot/contract?


2. If it is measured in $ here, are you using ticks or $ for the monte carlo simulation where it says "Randomize slippage from 0 to 5" because if its $5, this is much less than one tick on most futures and would not give the same type test of that forex strategies do. If this is measured in ticks not $, then why not expose this variable to the user to use for the build process?

Votes: 0

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please