Re: [amibroker] Buy/Sell price on a stop, AmiBroker Email List Archive

Ara,

Point 1 I can live with. Point 2 is why I would like to use the tick value. When testing one contract at a time, I can handle this issue buy adding 1 or 2 or 3 etc tick values to the commission. But if I want to test a portfolio of contracts, the tick value would be helpful because they are all different. Do you think it is possible to use tickvalue in the AFL formula?

James

----- Original Message ----
From: Ara Kaloustian <ara1@xxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, September 14, 2008 10:29:22 AM
Subject: Re: [amibroker] Buy/Sell price on a stop

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@xxxxxxxxx ps.com

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