Backtesters

Discussion in 'Options' started by UVXY20, Oct 6, 2024.

  1. Matt_ORATS

    Matt_ORATS Sponsor

    Yes, this is the slippage table that we have developed based on actual trading. For example, a single leg will travel 75% of the bid-ask spread to trade while a four-legged iron condor will travel 53%.

    [​IMG]
    https://gyazo.com/8f975832052e5ca1bf55754132e32aef


     
    #21     Oct 12, 2024

  2. That looks better and is reasonable as a generalization. It makes it difficult for us and it's unfortunate that market makers play games with these values, you can even bid the ask and watch the ask move. Reality really depends on who's on the other side of that trade. Liquidity tends to dry up in volatile market conditions, capturing desperate traders who are otherwise trapped in their position
     
    #22     Oct 12, 2024