mengelbrecht 

Hi Coastline You are right this is however on TOP on std commission. At this point in Time; Trading the 6E contracts via IB looks like this. Comissions $4.94 per roundtrip + 0.2 ticks in hidden cost = $5 so total = $10 pr roundtrip + slippage as RM99 in mentioning. rgds Michael

I'm betting your $4.94 is round trip. So $5/trade.

I simply add an additional tick to my commission and make it $12.50/RT (or $25/trade) when testing, just because it's easier than adding it into the slippage input settings.

That way, I can also backtest and run the standard exits included on my platform (which are market) without using the custom limit order code (that would require IOG and not allow me to backtest).

In reality, my code calculates the same signals as market orders, but I have to add an additional price gap (usually 1 tick) in order to ensure my order gets placed and not jumped during high velocity market conditions.

So my order usually reads something like "buy next bar at open + .01" or "sellshort next bar at open - .01"

I only get the pricegap penalty on my entries, because my exits are placed long before price comes near. But I leave the additional slippage included just to be conservative and as discussed above, sometimes the order is valid, but gets moved a tick (or 2) when the market is highly active.

The $4.94 round trip commission = $2.47 per side. If you convert this to ticks/pips, the $2.47 cost equates to .00002 (i.e. 0.2 ticks). So, your actual fill of 1.42220 effectively becomes an "Average Price" of 1.42222 when factoring in the commission cost. This is exactly what your screenshot shows. Nothing appears to be hidden.

Your comment in the first screenshot says "Limit Price filled 0.2 ticks higher", but I think your comment is incorrect. The trade was filled at 1.42220 as shown by the "Trade Price" in your screenshot. The price that is 0.2 ticks higher is what IB refers to as the "Average Price" (not the actual filled price) which includes the commission cost of .00002 (i.e. 0.2 ticks).

Estimating slippage in your backtesting is a different discussion. I am only commenting on what I see in your screenshot.

Coastline 

The $4.94 round trip commission = $2.47 per side. If you convert this to ticks/pips, the $2.47 cost equates to .00002 (i.e. 0.2 ticks). So, your actual fill of 1.42220 effectively becomes an "Average Price" of 1.42222 when factoring in the commission cost. This is exactly what your screenshot shows. Nothing appears to be hidden. Your comment in the first screenshot says "Limit Price filled 0.2 ticks higher", but I think your comment is incorrect. The trade was filled at 1.42220 as shown by the "Trade Price" in your screenshot. The price that is 0.2 ticks higher is what IB refers to as the "Average Price" (not the actual filled price) which includes the commission cost of .00002 (i.e. 0.2 ticks). Estimating slippage in your backtesting is a different discussion. I am only commenting on what I see in your screenshot.

Hi Coastline
I did a recalculation of some of the trades - it looks like you are right -- thx

rgds
michael