strategy slippage

[er111222]

Hi,

Attached is a screen snap short within 1 second of slippage in ES 2-7-2009 in a Strategy Analyzer chart report. Does anyone has any idea what would actually happen in live trading when the same happen?

[Radical]

It's kind of hard to tell what is being shown in that chart.

[er111222]

Let me explain, the strategy triggers many buy and sell orders within the blue levels within 32 ticks in 1 second.

[NinjaTrader_Bertrand]

It would depend largely upon the order type being used...for you the next step would be running this script in Market Replay or realtime simulation to get a feel for it's non backtesting behavior.

[er111222]

The order type is limit order, I assume the replay would be the same as it just get the same data. For live simulation, I cannot sit in front of the computer and wait a year before this will happen again.

Any insight into what actually happened during that second and will a live strategy react just like the image... is being asked here.

I would appreciate any one share opinion on his/her experience in auto trade strategy in live trade. I have experience this a number of time in live trading but have no idea what would happen when run in strategy live. Is it just corrupted data? But I have seen similar slippage data happen in real life when trading. If this is true data, then until this issue being minimize or protected, a big drawdown is waiting to fire any time.

[NinjaTrader_Bertrand]

No, the replay would not use the same data, it's a fundamentally different concept than back-testing, so this would be your best approach to deeper understand your strategy reaction to this set of data.

Looks to me like a news event unfolding?

[arbuthnot]

Originally Posted by er111222

The order type is limit order, I assume the replay would be the same as it just get the same data. For live simulation, I cannot sit in front of the computer and wait a year before this will happen again.

Any insight into what actually happened during that second and will a live strategy react just like the image... is being asked here.

I would appreciate any one share opinion on his/her experience in auto trade strategy in live trade. I have experience this a number of time in live trading but have no idea what would happen when run in strategy live. Is it just corrupted data? But I have seen similar slippage data happen in real life when trading. If this is true data, then until this issue being minimize or protected, a big drawdown is waiting to fire any time.

I've seen seen similar things on my own charts, before I found out the reason for the problem.

I think one of your problems is that you're using tick charts with a small number of ticks (maybe you're suing say 5 tick bars, rather than the usual 200 or 300 tick bars)..

Secondly, and this is the problem I had, I was working with rising/falling conditions that were valid over many bars. (I guess your conditions are valid over many small tick bars.) I found that the solution to this was to introduce "if ... else if" conditions. Basically, in the if condition, you state the negative of your main conditions applied to the previous bar. In the else if, you state the (positive) conditions for the current bar. In this way, for orders valid over a number of bars, the only order entered is one for the very first bay for which the conditions are valid.

Another approach is to use 'boolean flags', but this makes the logic of the strategy much more complex.

I hope this makes sense, but it certainly works for me and completely solved the problem. But I'd also look at greatly increasing the 'tick size'.