Re: [amibroker] Buy/Sell price on a stop

["Ara Kaloustian" <ara1@xxxxxxxxxx>]

The slippage seems variable since the bid ask spread varies with time of day.

 

Second, 1 Tick may have different values for different issues ... so assuming you are handling ONE issue at a time you just write the slippage you assume:

 

BuyPrice = iif(Buy,BuyStp + somevalue,0); 

 

 

----- Original Message -----

From: James

To: amibroker@xxxxxxxxxxxxxxx

Sent: Sunday, September 14, 2008 8:06 AM

Subject: [amibroker] Buy/Sell price on a stop

Could someone point me in the right direction for the AFL in calculating the slippage of buying or selling on a stop. I searched ticksize and point value to no avail. For example:

 

BuyStp = HHV(Ref(H,-1),15);
Buy = Cross (High, BuyStp);

BuyPrice = Max (BuyStp, L);   I want  BuyPrice = Max (BuyStp, L)+ 1 tick ;  

 

In this case of buying on a stop at BuyStp, you will almost never get filled at BuyStp because the ask will be at least 1 tick higher, therefore I would like to adjust the buy price by a certain number of ticks.

 

Thank you,

James

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