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At 01:07 PM 8/29/97 -0700, Lawrence E. Lewis wrote:
>
>You don't say whether you are trading short term or long term. Long term,
>it might be reasonable to make slippage a function of price. But, in
>reality, it is a function of the pace of the market at the exact time you
>place a buy or sell order. In the S&P, it is not uncommon to be caught is a
>sellers only market (while trying to sell) for 60 seconds, in which time
>the market may move up 2-4 points (1 point=$500).
>
>If you want to backtest long term systems that only trade on the close, you
>can get pretty close to the close by doing market on close orders (assume 2
>ticks slippage on average. Opening prices are pretty much a guess.
>
>For short term systems, I look at the tick-by-tick prices, and assume it
>takes 1 minute for my order to get to the floor after my system generates a
>signal. Then (if I'm selling), I assume I will get the price of the first
>downtick thereafter.
>
I don't know what happened to my brain. The above post should read:
"In the S&P, it is not uncommon to be caught is a BUYERS only market (while
trying to BUY) for 60 seconds, in which time the market may move up 2-4
points (1 point=$500)....Then (if I'm BUYING), I assume I will get the
price of the first downtick thereafter.
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Lawrence E. Lewis
Vice President, Chief Technology Officer, Chronology Corporation
EMAIL:lel@xxxxxxxxxxxxxx TEL:425-869-4227 x122
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