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Yuki,
I had a similar problem with the ASX, so I wrote a DLL (see the files section
ASXtick.zip). Have a look at it's documentation and let me know if something
like this (using Tokyo rules) would do the trick for you.
If so, let me know the Tokyo rules and I'll make a modified version for you.
Nigel
On Mon, 3 Mar 2003 08:07 pm, Yuki Taga wrote:
> All:
>
> I need to refine my code so that correct buy and sell prices are
> being reported in the back tests. The problem I'm having is that the
> yen is indivisible, but the back tester wants to split it when it
> reports prices and calculates profits.
>
> Let's say my BStopLevel = ref(C,-1) + (ref(H - L, -1) * 1.01)
>
> This is almost always (probably always, actually) going to be a
> fractional yen value. On a multiple security back test, my task is
> to force the back tester to buy at the next greater tick level,
> rather than the fractional value. Exits are on the open, so that is
> never a problem.
>
> Compounding this, is that fact that tick increments in Tokyo vary
> depending on issue price. In the portfolio I want to back test, I
> have several issues that have tick increments of a single yen. But
> one of those can reach levels where the tick increment jumps to 5 or
> even 10 yen. Others in the portfolio have tick increments of 1,000
> yen, or 100 yen.
>
> I would like precision in my back testing, and I'm not getting it.
> It is my own fault, I'm sure, for not knowing the code any better.
> Can anyone help?
>
> Yuki ^_^
>
> mailto:yukitaga@xxxxxxxxxxxxx
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
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