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3
votes
2answers
1k views

How to account for bid/ask spread when backtesting?

I'm backtesting an algorithm for trading nasdaq stocks, and would like to take into account the spread. I am using historical data from yahoo, which contains: open, high, low, close, volume, adj. ...
1
vote
2answers
373 views

Market making: buy on bid/sell on ask [closed]

In this thread, the top answer discusses: "buy on bid, sell on ask" as "market making" strategies. My question is: In layman ...
0
votes
2answers
159 views

monthly contract volume required for penny increments?

Have the exchanges disclosed their criteria? Does anyone have a best guess based upon observations of volume (however you wish to define it)? Please no qualitative answers.