New answers tagged slippage
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.
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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