I am simulating a market for my trading system. I have no ask-bid prices in my dataset and use adjusted close for both buy and sell price. To account for this I plan to use a relative transaction ...
I have two backtesting algorithms: One that uses bid and ask prices for signal generation. For example: Buy when $ask < threshold_1 $ and sell when $bid > threshold_2$. Bid and ask prices are ...
Clearly, it doesn't even take a large player in terms of percentage of total inventory relative to total underlying as in the case of the flash crash to push around a market in the short run, but I ...