Hello, I am in the beginning phases of backtesting/developing some algo strategies for various instruments, on a couple of different brokers. Brokers would be Tradestation and Interactive Brokers (using Ninja Trader to connect the Tradestation strategies to Interactive Brokers). I am trying to get some information on average slippage for market orders. I know slippage depends on many factors, but we have to account for it during backtesting, otherwise a garbage strategy can look deceptively profitable.
Does anyone have data they would be willing to share for average slippage for these instruments? Or know where that information might be available? Again, I only need some approximate data that will help with backtesting. Thanks all.
Cheese - CSC
Butter - CB
Dry whey - DY
E-mini soybeans - YK
E-mini wheat - YW
Wheat - ZW
E-mini S&P smallcap 600 - SMC
S&P 500 Index - SPY
S&P 500 Dividend Points (Annual) Index - SPXDIVAN
FTSE 100 Index - VEA
Mini-DOW - YM/WYM
Russell 1000 ETF - IWB/RS1
Ethereum - ETH
Litecoin - LTC
Bitcoin Cash - BCH
Micro Bitcoin - MBT
3-month Bloomberg Bank Yield - BSBY
Dow Jones US Real Estate Index - DJUSRE
Housing index composite - CUS
Industrial Select Sector Index - IXI
Financial Select Sector Index - IXM
Consumer Staples Select Sector Index - IXR
Real Estate Select Sector Index - IXRE
Technology Select Sector Index - IXT
Utilities Select Sector Index - IXU
Health Care Select Sector Index - IXV
5-Year Deliverable Interest Rate Swap Futures - F1U
2 Year Micro Treasury Yield - 2YY
5 Year Micro Treasury Yield - 5YY
Alibaba - BABA
Altria - MO
Gilead - GILD
Phillips - PSX
Mastercard - MA
Viacom - VIAC
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