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Category
Strategy Elements
Description
Specifies whether theoretical zero-slippage entry and exit prices are calculated when Hybrid Trade List strategies are run in Orders mode.
Choices
False - do not calculate zero-slippage prices (default)
True - do calculate them
Notes
When a strategy that is traded with OrderClerk or that includes an explicit TradeList is run in Orders mode, the trade list is "played back" verbatim to accurately establish current positions before generating tomorrow's orders using the strategy's formulas.
To facilitate the calculation of live-trade slippage by comparing each actual fill price to the theoretical zero-slippage price, RealTest can optionally evaluate the relevant strategy formulas for every past trade and store the theoretical prices in the T.PriceInZ and T.PriceOutZ fields of the trade records.
For example, for a position entered with a limit order, the theoretical fill price would the limit price that was used, unless the open already touched that price in which case it would be the open.
When TLCalcZPrices is True, RealTest will also calculate T.SlipIn and T.SlipOut for each trade by comparing T.PriceInZ to T.PriceIn and T.PriceOutZ to T.PriceOut.
Sorting the test's trade list by SlipIn or SlipOut makes it easy to see the slippage outliers at either end of the column and the median values near its middle.
TradeStatAvg and TradeStatStdDev can be used in Results formulas to summarize these stats for all the trades in a live-trade playback test.
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