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Slippage Measurement

S# calculates slippage through the SlippageManager. Slippage is the difference between the expected execution price of an order and the actual trade price.

ISlippageManager Interface

The ISlippageManager interface defines the base contract:

  • Slippage — total accumulated slippage (decimal).
  • Reset() — resets the state of the manager.
  • ProcessMessage(Message) — processes a message; returns the slippage for the given execution or null.

How It Works

The slippage manager works in three stages:

1. Updating Market Prices

When a Level1ChangeMessage or QuoteChangeMessage is received, the manager saves the best bid and ask prices for each instrument.

2. Saving the Planned Price

When an OrderRegisterMessage is received, the manager saves the "planned price" — the best market price at the time of order registration:

  • For a buy (Buy), the best ask is used.
  • For a sell (Sell), the best bid is used.

3. Calculating Slippage

When an ExecutionMessage with a trade is received, the manager calculates slippage:

  • For a buy: (TradePrice - PlannedPrice) * TradeVolume
  • For a sell: (PlannedPrice - TradePrice) * TradeVolume

A positive value means unfavorable slippage (price worse than expected), while a negative value means favorable slippage (price better than expected).

State: ISlippageManagerState

The ISlippageManagerState interface stores the manager's internal state:

  • Best bid/ask prices for each instrument (SecurityId).
  • Planned prices and directions for each transaction (TransactionId).
  • Total accumulated slippage.

The default implementation is SlippageManagerState.

Settings

Property Default Description
CalculateNegative true Account for favorable slippage. If false, negative values are replaced with zero.

Integration via Adapter

The SlippageMessageAdapter class wraps an inner adapter and automatically calculates slippage for all trades.

Integration with Strategy

The strategy (Strategy) exposes the Slippage property for tracking overall slippage.

Usage Example

// Creating a manager with a state store
var manager = new SlippageManager(new SlippageManagerState());

// Only account for unfavorable slippage
manager.CalculateNegative = false;

// Processing market data (updating best prices)
manager.ProcessMessage(level1Msg);
manager.ProcessMessage(quoteChangeMsg);

// Processing order registration (saving the planned price)
manager.ProcessMessage(orderRegisterMsg);

// Processing a trade (calculating slippage)
decimal? slippage = manager.ProcessMessage(executionMsg);
if (slippage != null)
{
    Console.WriteLine($"Slippage: {slippage.Value}");
}

// Total accumulated slippage
Console.WriteLine($"Total slippage: {manager.Slippage}");

Resetting State

The Reset() method completely clears the internal state: best prices, planned prices, and accumulated slippage:

manager.Reset();