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<FONT face=Arial color=#0000ff
size=2>b,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Knowing what I know about your data, I believe that your commission
calculation is fraught with problems.
<FONT face=Arial color=#0000ff
size=2>
Take a
stock that has been backadjusted such that it is (say) ten cents instead of the
actual price of (say) $30. Also, let's say that you are going to
invest $10,000 in that stock. AB will buy a zillion shares, with a
commission of one cent per share, instead of a few hundred shares with a
commission of one cent per share.
<FONT face=Arial color=#0000ff
size=2>
So...
how do we get more accurate slippage figures. I believe that we have
to do one of the following:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>a. Simply use a flat percentage (say 1/2 percent)
or
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>b. Use an adjustable percentage that considers the actual price in
its calculation (say 1/2% if the actual price is > $5, else
1%).
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
You
probably could calculate a "cents per share" commission, but you would have to
consider the ratio of backadjusted to actual prices in such a calculation.
You might end up with 10 cents per share or 1/1000th of a cent per share or
anything in between.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: b
[mailto:b519b@xxxxxxxxx]Sent: Wednesday, February 25, 2004 8:17
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
CommissionMode option (4.51 new feature)I have my
commission on the settings page set to zero and Ihandle commissions and
slippage directly in my AFL code.The following example shows how to build
percentage (theslippage part) and fixed per share amounts into the
pricearray.
SetTradeDelays(1,1,1,1);SetOption("PriceBoundChecking",False);//must
turn it offslippage = 0.005;// 0.005 is
1/2%Commission = 0.01;// 0.01 is 1
cent/share BuyPrice = CoverPrice = (Open*(1+slippage)) +
Commission;SellPrice = ShortPrice = (Open*(1-slippage)) -
Commission;b--- Thomas Chan <tchan@xxxxxxxxxx>
wrote:> My tests show that setOption() and the setting in the
GUI> interfere each> other. Change any of the settings and the
result changes.> I ended up> disabling the setOption() for now.
I tried 'percent of> trade' only.> > >
> > > > > Thomas>
> > > ________________________________>
> From: Chuck Rademacher> [mailto:chuck_rademacher@xxxxxxxxxx]
> Sent: Tuesday, February 24, 2004 10:18 PM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker] CommissionMode option
(4.51 new> feature)> > > > Has anyone
tried to use this new feature? I can't get> it to have
any> effect on my systems. It doesn't override the GUI>
settings for> commission. I've tried all four modes. >
> __________________________________Do you
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