[amibroker] Re: Using Bid Ask in RT trading

["loveyourenemynow" <loveyourenemynow@xxxxxxxx>]

Hi Herman,

I actually had to deal with some related problems since I trade high
spread securities some time.
My philosophy is that if you want your backtesting results to be
realistic you should not buy/sell at the market, but buy at bid and
sell at ask (act like a market maker) if your backtesting average per
trade profit is comparable to the percentual average spread, otherwise
market orders should be fine.
I think the way to put order in the book in order to obtain desired
trades results can be a very complex problem, sine the book dynamic is
not obvious at all.

I can give you some reference to papers on the subject.

Thanks
Ly


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