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PostPosted: Mon Feb 12, 2007 3:10 am 
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Joined: Wed May 04, 2005 6:06 pm
Posts: 98
Location: SF Bay Area
Is it possible to define the slippage differently for individual instruments? I have a MetaStrategy with multiple ATSComponents, one component for each instrument. I would like to be able to set the slippage based on the instrument that is traded, not simply a percentage which must be the same for all instruments. Can you think of a good way to do this?


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PostPosted: Mon Feb 12, 2007 12:03 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6807
Yes, you can override slippage provider wioth your custom provider and add

switch(ExecutionReport.Instrument)
{
...
}

statement.


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 Post subject: Slippage Details
PostPosted: Thu Oct 25, 2007 6:22 pm 
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Joined: Thu Oct 25, 2007 12:11 am
Posts: 86
Location: Austin, Texas
Can you add some more details, including example code, on how to do this?

I can't find any reference to the existing slippage provider in any of the documentation.

Regards,
DFTrader


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PostPosted: Tue Feb 22, 2011 12:11 am 
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Joined: Mon Sep 08, 2008 2:20 am
Posts: 40
Location: Toronto, Ontario, Canada
Here's where to find the comission and slippage provider.


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