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Interesting ... I'd like to see how the short side works since in the
states we're still only able to short stocks on upticks. So even
with overnight orders expecting to get the opening, for example a
stock that closed at $12 today, opens at $11 tomorrow and keeps going
down to $10 before it has an uptick to 10.01 it's of course the last
price that ones trade will be at. As far as limit and stop orders go
I agree but then of course one does not get all the positions that
one goes after using these and in a scalper type systems that by
their nature are expecting average profit to be very small, using
stop/limit orders on exits might at best be problematic.
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Hi Fred,
>
> Tuesday, July 8, 2003, 9:20:12 AM, you wrote:
>
> F> And what do you allow and/or experience for slippage ?
>
> For the most part, I don't. Most of my entries are either opens, or
> limits, or both. My exits are almost always on opens. So I get
> whatever the system is testing. I also trade stuff where the bid and
> ask are adjacent to each other most of the time, as well.
>
> When I lived in the states "slippage" was pretty much a
> commodities-only term that really meant "amount you were going to be
> flat-out cheated by the floor broker or the firm you were trading
> with". ^_^ It could certainly be a factor with illiquid stocks, but
> not with the ones I stick to.
>
> Best,
>
> Yuki
>
> mailto:yukitaga@x...
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