Slippage & fill prices
The price you would really have got
A worse price than the last trade, the way real orders fill: buys at the ask and sells at the bid from the recorded quotes, or a cost you set - a percentage of the premium or price, a number of points, or a fixed amount of rupees per fill. It applies to every leg at entry and at exit, each on its own price, and the results show what it cost in total, apart from brokerage. Orders can also be priced at the mid, the bid or the ask instead of the last trade.
Modelsbid/ask, % of price, points, rupees
Chargedper leg, at entry and exit
Reportedtotal cost, and fills with no quote
Data points
6 fieldsFieldWhat it meansTypeBid / askBuys fill at the best ask and sells at the best bid recorded at that second - the real spread. A fill with no quote on one side uses the last price, and is counted.₹% of priceA percentage of the leg's own price - for an option, of its premium.%PointsA number of points off the price, so it grows with quantity: 2 points on a 65-unit lot is ₹130.pointsRupees per fillA fixed amount of cash per fill, whatever the size.₹Fill priceEach order can be priced at the last trade (the default), the mid, the bid, the ask or a price you give.₹Slippage totalWhat slippage cost over the whole backtest, and how many fills had no quote to slip against.₹
What you can do with it
tap a request to copy it, then paste it into the chatFill at the real bid and ask.
Charge a percentage of the premium.
Charge a fixed cost per fill.