How to calculate transaction cost

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

  1. kiev

    kiev

    Hi,

    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.