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Hello Jack,
There is a perpetual debate as to whether Technical Analysis is a
Science or an Art e.g. slippage is a term that can have more than
one meaning amongst traders.
It's most common useage is to describe the difference between market
orders and the price received, due to 'imprecise' or partial market
fills via brokers.
It is a natural phenomenon of fast moving auctions; the faster the
auction, the greater the 'slippage'.
Extreme slippage occurs when the price moves past your bid/ask that
fast you can't get filled at all sometimes resulting in gaps; up or
down.
Market slippage, or risk, is something else altogether i.e.
a 'random' act of the market Gods e.g. 9/11.
So, there are at least three types of 'slippage' or trading risk;
broker slippage, gapup/down and market.
Some traders measure and manage them separately while others don't.
The main difference is that historical data records price gaps and
market events but in most cases does not record broker slippage.
For that reason, backtesting accounts for the first two, and not the
later, which is the reason broker slippage receives the most
attention.
In any case there is no 'one size fits all' answer.
It depends on the type of slippage, trader, broker, market, system
etc.
Few traders would agree, for example, on a typical broker slippage
number, but most traders would advice others to design good systems
that absorb some 'error' before facing ruin.
There is a current post 'buying at open -- in real life' that has
some good robust discussion on 'open price slippage'.
The point of that topic for me was that in some markets the open is
not freely traded but is regulated or manipulated to some extent.
Whether that is a good thing or a bad thing depends on the use you
are putting it to.
If you search this forum for EOD data or EODDATA you will find some
good answers relevant to some of your questions.
EODDATA supplies split adjusted data and Yahoo supplies split and
dividend adjusted data so n'eer the twain shall meet (not for very
long anyway).
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "jacklweinberg" <weinberg@xxx>
wrote:
>
> A question about Data and the Open price.
> I have a number of system which signal a buy (or short) for the
next
> data (SetTradeDelays( 1, 1, 1, 1 ); ).
> However, after doing a recent analysis of data from Yahoo and data
> from EODDATA.COM, I have found a great deal of difference between
the
> two, in terms of the open price.
> In order to compensate, (this is really slippage), I thought to
put in
> a higher $ figure in commission.
>
> If you trade this way (market order on the open), how much would
you
> suggest for slippage?
> Do you often get the open price, or something far from it? What
would
> be a good approximation?
> Is the data from EODDATA cleaner than Yahoo?
>
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