apply slippage toggles whether the engine simulates slippage on
fills. When true, every market fill in the backtest is adjusted
against the trade direction by risk_management.slippage_pct.
Default
true for market orders, false for limit orders.
Math
adjusted_fill = close × (1 + slippage_pct / 100) (long)
adjusted_fill = close × (1 - slippage_pct / 100) (short)In backtest, this widens entry costs by slippage percent. In live trading, the value is informational - actual slippage is whatever the venue gave you.
When to disable
- Limit orders - you already pay or refuse a specific price; no adjustment needed.
- Backtesting against tick data that already includes spread - double-counts otherwise.
Pitfalls
slippage_pct: 0is unrealistic for any meaningful order size. 1-5bps is typical for liquid crypto markets; more for small-cap or news bars.- Slippage is independent of fees. Both are subtracted from the trade P&L; don't conflate them.