Has anyone done any performance testing on NT to determine if there is significant drag in script size to cause slippage? I'm at the stage im looking into this now and just curious if having an NT script that is complex would cause any slippage in trade execution or is it even worth considering?
If you are using CalculateBarOnClose = true, then time a 1-year backtest and see that its duration is insignificant vs the 1-year duration. If you are using CalculateBarOnClose = false, hence processing every single transaction, on a large enough number of markets, you might start having issues in fast-markets. Add to that processing of L2 bid/ask data, these issues will get larger. My 2 cents