|
Title: Re: [amibroker] Re: Using Bid Ask in RT trading
Thank you,
from replies I gather that people are not processing the bid/ask prices and/or use some smart way to calculate LMT prices.
Yes, I agree, my designs also use LMTs. If they don't fill in n seconds I may auto-convert to MKT or skip the trade.
Thank you for offering references but I am rather lazy and hate complexity :-) so I'll skip on your offer.
Best regards,
herman
Saturday, January 31, 2009, 6:18:46 PM, you wrote:
> 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
> ------------------------------------
> **** IMPORTANT ****
> This group is for the discussion between users only.
> This is *NOT* technical support channel.
> *********************
> TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
> *********************
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> For other support material please check also:
> http://www.amibroker.com/support.html
> *********************************
> Yahoo! Groups Links
> <*> To visit your group on the web, go to:
> http://groups.yahoo.com/group/amibroker/
> <*> Your email settings:
> Individual Email | Traditional
> <*> To change settings online go to:
> http://groups.yahoo.com/group/amibroker/join
> (Yahoo! ID required)
> <*> To change settings via email:
> mailto:amibroker-digest@xxxxxxxxxxxxxxx
> mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
> <*> To unsubscribe from this group, send an email to:
> amibroker-unsubscribe@xxxxxxxxxxxxxxx
> <*> Your use of Yahoo! Groups is subject to:
> http://docs.yahoo.com/info/terms/
__._,_.___
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
![]()
__,_._,___
|