2 registered members (AndrewAMD, 7th_zorro),
1,285
guests, and 4
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
Significant difference calculated bids & logged long exit prices
#469117
11/05/17 22:26
11/05/17 22:26
|
Joined: Aug 2017
Posts: 295 Netherlands
Grant
OP
Member
|
OP
Member
Joined: Aug 2017
Posts: 295
Netherlands
|
Greetings all, Using the original EURUSD data, I made a comparison between the calculated ask and bid price with the logged entry and exit price from 327 long trades, written in the testtrades.csv using the 'set(LOGFILE + TICKS)' mode. The average relative difference between the calculated ask and the logged entry price is close to 0% (-0.0000002%), but there is a significant difference between the calculated bid (i.e. 'BidPrice = AskPrice - Spread' as double) and the logged exit price, namely 0.14%(!) How can this strong deviation be explained? Thanks for any help Grant
Last edited by Grant; 11/06/17 00:05.
|
|
|
Re: Significant difference calculated bids & logged long exit prices
[Re: jcl]
#469243
11/09/17 15:20
11/09/17 15:20
|
Joined: Aug 2017
Posts: 295 Netherlands
Grant
OP
Member
|
OP
Member
Joined: Aug 2017
Posts: 295
Netherlands
|
Can you explain why there's no direct bid price function? In order to approach the long exit execution price, I've added an extra factor (i.e. AskPrice - Spread - 'factor'). This has decreased the average difference, but it remains significantly higher than the average difference between the ask-long entry execution price. The right bid price is vital for my model when controlling the risk and due to it's high trade frequency.
Last edited by Grant; 11/09/17 15:22.
|
|
|
|