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seen Jul 29 at 15:32

Aug
28
awarded  Teacher
Sep
23
comment Trade Count Time Series
@Konsta You said you are trying to count trades, right? Each tick is one trade. So for a daily bar, just count the total number of ticks that happen in that day. Note that this is different from the total volume, which would be the sum of the trade size of each tick (like 300 shares, etc).
Sep
23
answered Trade Count Time Series
Sep
23
comment How should I include the bid-ask spread as a transaction cost in a backtest?
@babelproofreader I think he means that when your test data is just a time series of only closing prices, you don't have the open price available
Sep
22
awarded  Supporter