I am backtesting across a basket of futures markets. I currently use the market-specific point value by passing the data feed as an argument to setcommission.
For slippage, I don't see a way to make that data feed specific. I would like to do a (# of tick)-based slippage scheme which requires me to set a different slip_fixed per data feed.
As far as I can tell this is not already supported is it? If indeed not, what's the recommended way for me to add this, extend BackBroker?