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How can one possibly figure out this open price before the hectic
open trading except the specialists on the floor? How can one place
an order so that you can get a fill at open or close to open?
As someone pointed out, % of equity is a better way to take into
account of slippage. For me and the size of my trade, I just use $50
each way. It's on the high side, but it's safe.
--- In amibroker@xxxxxxxxxxxxxxx, "ed2000nl" <pablito@xxxx> wrote:
> agreed. It is interesting if a method still works when commisions
are
> doubled. Some methods walk on a thin line, I agree.
>
> Well I solved my initial problem (Interactive Brokers commissions)
by
> using round lot sizes of 100. The commission applied is therefor
> right or a little too high but pretty close to "reality".
>
> regards, Ed
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
> <serkhoshian777@xxxx> wrote:
> > Ed,
> >
> > I thought the same thing before going down this road. Going back
> to my Army days, we were always taught to plan and adjust for most
> likely and most dangerous enemy scenarios.
> >
> > You may be right that the most likely scenario is no slippage,
but
> if the wheels fall off your system when adding a reasonable amount
of
> slippage then the most dangerous scenario of slippage could be a
real
> dealbreaker. It only takes a moment. So, this extra step asks
> little, but potentially offers a lot of insight.
> >
> > FWIW,
> > Gary
> >
> > ed2000nl <pablito@xxxx> wrote:
> > hi,
> >
> > my feeling is to use a commission as close to what you actually
> have
> > to pay. I don't see the point in testing a system using 50$ per
> trade
> > if I pay between 10 and 30$ per trade.
> >
> > I don't see that I need to include slippage in my simulation.
> First,
> > I trade heavily traded stocks and the spread is small. Also in my
> > current simulations (using EOD data) I enter a trade at the open
> the
> > day after a signal and I exit at the open as well. In practice
> there
> > would be no reason to assume that I would always pay a few cents
> more
> > than the open price. I could pay a few cents less. I would say
the
> > effect averages out.
> >
> > regards, Ed
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "bmx888" <bmx888@xxxx> wrote:
> > > it's better to take $50 each way for commission and slippage.
> > > Execution is large part of a trading plan and you have to take
> into
> > > account slippage.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "ed2000nl" <pablito@xxxx>
wrote:
> > > > hi,
> > > >
> > > > maybe I am asking too much but I can always try .... for
> > commision
> > > > settings I currently use 0.01$ per share (trading with
> > Iinteractive
> > > > Brokers). However, if I buy 211 shares I will have to pay 3$
> and
> > > not
> > > > 2.11. Also one pays 0.01$ per share trading below 500 shares
> and
> > > only
> > > > 0.005$ above 500 shares.
> > > >
> > > > So for 1000 shares I would pay 7.5$ commission. For 1150
shares
> I
> > > > would have to pay 8.5$. In the simulation it would charge 11.5
$.
> > > >
> > > > I wonder if such a feature could be added?
> > > >
> > > > thanks,
> > > >
> > > > Ed
> >
> >
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