James, you could use tick value
indirectly.
You would need to define them and then reference
them. Since you are talking about tick values, you are considering commodities
/ futures which are moreless limited in numbers ... so here is the
concept.
You will need to do some string
manipulation to get the root symbol ("ES" from "ESU8 for example) in order to
get the associations correct.
Define:
ES_Tick = 0.25;
etc...
Root = StrLeft(Name(
),2); // from "ESxx", it will return "ES"
if (Root ==
"ES") TickValue = ES_Tick; // will need multiple of
these statements - one for each symbol used.
BuyPrice = iif(Buy,BuyStp + TickValue,0);
----- Original Message -----
Sent: Monday, September 15, 2008 7:45
AM
Subject: Re: [amibroker] Buy/Sell price
on a stop
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@xxxxxxx
com>
To: amibroker@xxxxxxxxx
ps.comSent: 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 -----
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