Recent Content by fintrabuji

  1. Using Bid&Ask Prices vs Only Mid-Price in Backtest

    So yes, stop order is a market order. (again, other than stop-limit orders)
    Post by: fintrabuji, Jul 2, 2015 in forum: Strategy Building

  2. Using Bid&Ask Prices vs Only Mid-Price in Backtest

    Aren't stop orders (other than stop-limit) essentially executed as market orders?
    Post by: fintrabuji, Jul 2, 2015 in forum: Strategy Building

  3. Using Bid&Ask Prices vs Only Mid-Price in Backtest

    I want to use at-market orders, so I incorporated slippage as best as I can to the execution model.
    Post by: fintrabuji, Jul 2, 2015 in forum: Strategy Building

  4. Using Bid&Ask Prices vs Only Mid-Price in Backtest

    They were rarely differences in signals where one of ask and bid signaled to buy/sell but the other didn't, thus made me anxious if the difference...
    Post by: fintrabuji, Jul 2, 2015 in forum: Strategy Building

  5. Using Bid&Ask Prices vs Only Mid-Price in Backtest

    I am going to use midprice for only signal generation. For portfolio valuation and execution of orders, I am going to use bid&ask series with...
    Post by: fintrabuji, Jul 2, 2015 in forum: Strategy Building

  6. Using Bid&Ask Prices vs Only Mid-Price in Backtest

    Thank you for the answer. What do you mean by "actual prints"? I am doing multiple time frame analysis with 15-min, 1-hour, 4-hour bars, but may...
    Post by: fintrabuji, Jul 2, 2015 in forum: Strategy Building

  7. Using Bid&Ask Prices vs Only Mid-Price in Backtest

    Hi everyone, Just looking for input and recommendations on the topic of using bid&ask prices time series vs mid-price time series. I have written...
    Thread by: fintrabuji, Jul 1, 2015, 16 replies, in forum: Strategy Building