# Historical Slippage values

238

Hi,

Does Metatrader normally store the historical slippage values for a chart?

I've noticed that there is a structure called

which contains a slippage value but from what I can see this just references the current slippage values (unless I read it incorrectly) for the existing open trade.

Obviously, I could create an indicator which records the slippage (probably by constantly opening and closing a trade) values for each candle but that not going to be as useful.

Moderator
29869

That doesn't make sense. Slippage is the difference between the requested price and the price you actually get when you open a trade. There is no "slippage" value for each candle, or historical.

If you "noticed" something please post a link, so we know exactly what you are talking about.

238

Alain Verleyen:

That doesn't make sense. Slippage is the difference between the requested price and the price you actually get when you open a trade. There is no "slippage" value for each candle, or historical.

If you "noticed" something please post a link, so we know exactly what you are talking about.

I understand what slippage is but I want to be able to measure it and record it. I appreciate it is going to vary and depend on the moment of time that I pass an order but I need to test a theory of mine.

The only way of testing it, as far as I can see, is to open and close an order for a given period and recording the slippage that I obtained. This is the only way that I think of measuring and recording it.

Unless anyone else has some other ideas.

Moderator
2342

imamushroom:

I understand what slippage is but I want to be able to measure it and record it. I appreciate it is going to vary and depend on the moment of time that I pass an order but I need to test a theory of mine.

The only way of testing it, as far as I can see, is to open and close an order for a given period and recording the slippage that I obtained. This is the only way that I think of measuring and recording it.

Unless anyone else has some other ideas.

That could be an expensive experiment. I would surmise that values obtained from other servers (e.g. a demo account) would not be relevant.
238

honest_knave:
That could be an expensive experiment. I would surmise that values obtained from other servers (e.g. a demo account) would not be relevant.

I was thinking demo as my calculations for the time being are all on demo. Just need to prove something right or wrong.

Interesting, I found this post about a formula for slippage. Don't understand it yet but very interesting.

Anyone, care to put it into lay mans terms without needing advanced maths?

Intraday versus daily volatility in slippage estimation
• quant.stackexchange.com
$\gamma = 0.314$ In the paper [page 11], Almgren says $\sigma$ is an "an intraday estimator that makes use of every transaction in the day." Does anyone have an idea of how this estimator works? I'm using a 40 day moving...
3917

imamushroom

I understand what slippage is but I want to be able to measure it and record it. I appreciate it is going to vary and depend on the moment of time that I pass an order but I need to test a theory of mine.

The only way of testing it, as far as I can see, is to open and close an order for a given period and recording the slippage that I obtained. This is the only way that I think of measuring and recording it.

Unless anyone else has some other ideas.

MT5 already has real tick historical data available to you from the broker, so "slippage" information is inherently already available to you as well.

As @Alain Verleyen has already stated, slippage is the change in price between the price (at time "t") when an order is submitted and the price (at time "t+dt") of when the order is finally placed at the server.
Moderator
29869

imamushroom:

I was thinking demo as my calculations for the time being are all on demo. Just need to prove something right or wrong.

There is no slippage with demo account. Except maybe with some bad brokers/servers, as I have already seen.

Interesting, I found this post about a formula for slippage. Don't understand it yet but very interesting.

Anyone, care to put it into lay mans terms without needing advanced maths?

The formula could be interesting (I didn't read the paper though), but it does make sense only on a real account.
Moderator
29869

Fernando Carreiro:
MT5 already has real tick historical data available to you from the broker, so "slippage" information is inherently already available to you as well.
..
How is that ? You can never say what the slippage should be, if you open an order, from these ticks data. I am missing something ?
3917

Alain Verleyen: How is that ? You can never say what the slippage should be, if you open an order, from these ticks data. I am missing something ?
I am not talking about forcing a particular future slippage in orders. I am saying that you can measure it by looking back at historical tick data and taking into consideration the average delay (+/- deviations) and thus do a statistical analysis of what average slippage (+/- deviations) has occurred at any point in time in the past, such as during news events.

This way, you can have some notion of what kind of slippage you can expect in the future, not control it.
Moderator
29869

Fernando Carreiro:
I am not talking about forcing a particular future slippage in orders.
Me neither, my post was confusing.
I am saying that you can measure it by looking back at historical tick data and taking into consideration the average delay (+/- deviations) and thus do a statistical analysis of what average slippage (+/- deviations) has occurred at any point in time in the past, such as during news events.

This way, you can have some notion of what kind of slippage you can expect in the future, not control it.
I am afraid I don't understand or we are talk about different things.

How could you get "average delay" from ticks data ? what delay could you get from ticks ?
3917

Alain Verleyen:
Me neither, my post was confusing.
I am afraid I don't understand or we are talk about different things.

How could you get "average delay" from ticks data ? what delay could you get from ticks ?
You don't get average delay from the tick data, you get average slippage.

You use an approximate delay value (that you would derive from average network latency and order execution delays) to observe what slippage you would get for that value.