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Category
Strategy Elements
Description
Slippage amount, in points (dollars per share or contract), for each trade
Input
Any formula specifying dollars per share or contract (points)
Notes
Defines the amount of slippage to apply to to each transaction, in price points.
Slippage is calculated and applied to each side of the trade (entry and exit) separately.
If FillPrice is used in the Slippage formula, it automatically retrieves the entry price for entry slippage and the exit price for exit slippage calculation.
Slippage, if specified, is applied to every transaction, regardless of order type (market, stop or limit).
To specify a different slippage amount for EntryLimit or ExitLimit orders, use LimitSlip.
To specify a different slippage amount for EntryStop or ExitStop orders, use StopSlip.
Note that if you want there to be slippage for market orders but not for limit orders, you must explicitly specify LimitSlip: 0.
For futures, a simple assumption is "one tick" slippage for any market, e.g. Slippage: TickSize.
For stocks, percent-based slippage usually makes the most sense, e.g. Slippage: 0.002 * FillPrice.
A more complex example for less liquid futures, would be: Max(2 * TickSize, 0.02 * ATR(5)), meaning "2 ticks or 2% of daily average true range, whichever is greater".
A more complex example for less liquid stocks would be: Max(0.05, 0.002 * FillPrice, 0.1 * Shares / Volume), meaning "0.05/share or 0.2% of price or 10% of the ratio of your shares to the total daily volume, whichever is greater".
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