How to calculate transaction cost

Discussion in 'Order Execution' started by kiev, Jan 5, 2013.

  1. kiev



    I'm not talking about commission.

    I'm developing an algorithm, according to which I buy/sell 200 shares of "C" at 11 am each day, but when I test my algorithm with history data, I don't know if I can take the historical market price at 11 am of each day as my transaction price, or should I add any transaction cost something like 1 cent per share because there is spread between bid and ask?
  2. Get historical quote data - bid/ask is available through IB.

    Decide whether you'll be paying the spread.