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I designed an strategy that operates with 30-second bars on e-mini SP500. It works fine in the back-testing and the out-sample, also performs well in every walk-forward test I have tried.

But, when it comes to a real simulation (using TradeStation as platform and broker), if fails miserably due to slippage, because a price difference of 0.25$ is enough to make it a losing strategy.

I wonder if high-frequency trading can solve this problem, and in such case if there is any way to access to this kind of technology. Is there any broker offering simulated accounts with HFT capabilities? Any contest or simulation software to test my strategy?

Thank you very much.

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Lots of strategies "work" when slippage is ignored. On the other hand, it requires a lot of capital equipment to execute high frequency trading. Even if you could rent time on a HFT system, you would probably have to pay a higher fee than slippage. –  bill_080 Apr 11 at 13:36

2 Answers 2

I know it's not what you want to hear, but the smaller the time-frame the more limit orders should be focused on (which can change the design of a strategy entirely). Due to the nature of the futures markets, having a gap in liquidity can obviously cause discrepancies with market orders, but can guarantee some nature of being filled using limits.

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You're playing against people who would take the opportunities you're going for in microseconds or milliseconds. What kind of latency are you getting with TradeStation?

You need to do two things:

  • measure this latency.

  • get tick by tick data and do a real backtest. Probably your opportunities are gone in 10 milliseconds so you need to do this.

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