The transaction-costs tag has no wiki summary.
12
votes
3answers
602 views
How to account for transaction costs in a simulated market environment?
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 ...
7
votes
3answers
235 views
how do you evaluate an FX market aggregator?
My firm is investigating FX aggregation systems to see if we can reduce execution costs for our systematic trading strategies that involve FX (not low latency).
Some of the contenders are Integral, ...
5
votes
4answers
836 views
How should I include the bid-ask spread as a transaction cost in a backtest?
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 ...
3
votes
2answers
134 views
Typical coefficients uses in square-root model for market impact
The square-root model is widely used to model equity market impact. It assumes that volatility, traded volume, total volume, and a spread cost are the drivers of slippage.
Jim Gatheral has an ...
2
votes
0answers
117 views
Optimal Position Size with Transaction Costs given Forecast Mean and StDev
I have rather a challenging question. I'm hoping that someone can share their experience. I will build up the problem in steps.
Let's start our thinking with the idea of a buy and hold strategy of ...
1
vote
1answer
90 views
Add transaction costs to prediction
An algorithm predicts price movement by some certainty and it invests proportional to the confidence level. Predictions range from -1 to +1, -1 meaning sell for a value of ...
