Estimation of spread cost and input into commission table

[Random_Entry]

I would like to account for the cost of spread in amibroker, ideally using the commission table in analysis settings.

I have created a chart with the % cost of spread Vs share prices on the ASX and would like to break down the % costs in terms of price scale. ie 0-0.5, 0.5-0.1, 1-5, 5-10, etc. for use in back testing.

Is this possible and also for completeness am I a total idiot?

cheers

John

[Pinecone]

I don't know a ton about the backtester commission settings from the dialogue because I've been in the habit of writing it all into my code since I started with AMI. But honestly, that might be the best route for more complex modeling like this. Look into all of the SetOption() functions and/or bake it into the execution prices.

Oh, and you sound very reasonable.

[portfoliobuilder]

@Random_Entry I think the "cost of spread" you are referring to is often called "slippage". If I am interpreting your question correctly then search the forum as there are several posts discussing slippage. A couple of informative posts below,

Accounting for Slippage and Commissions in back-testing

As for commissions... Go to Analysis settings "General" tab -> "Commissions and rates.." https://www.amibroker.com/guide/w_commission.html [647] Or by code via SetOption() function https://www.amibroker.com/guide/afl/setoption.html Interactive Broker commissions https://www.interactivebrokers.com/en/index.php?f=commission&p=options1 Adding slippage by code the simple way SetOption( "PriceBoundChecking", False ); Slippage = ...; // Add your slippage value here BuyPrice += Slippage; …

And useful info on AmiBroker's "BuyPrice" and "SellPrice".

Slippage on Applystop()

@travick - the location of ApplyStop doesn't matter. ApplyStop is an instruction for the backtester not a function and it doesn't really matter where you put them as long as they are before Equity() call as it is Equity() which actually runs backtests and evaluates stops. @wtchung - did you read the manual? If you want to use "trade" price instead of stop price you have to specify exitAtStop argument = 0 http://www.amibroker.com/guide/afl/applystop.html Quote: ExitAtStop ExitAtStop = 0 - me…

[Random_Entry]

Hi,

Maybe I’m getting my wires crossed but my interpretation of slippage is the effect of getting filled at a higher or lower price due to lack of buyers or sellers (liquidity) at the intended price level.

I am referring to spread which is a transaction cost.

Say;
Bid = $0.95
Ask = $1.00
Spread = $0.05
Spread = 5%

I’m trying to estimate this cost as a function of price and apply to amibroker.

Looks like it’s not possible in the commission schedule and must be coded.

[portfoliobuilder]

@Random_Entry I think I misinterpreted your post. But I think the solution will be similar, ie a programmatic / coding solution.