两个合约如果相关性够高，那么必然大方向上last price会走的很紧，然后由于bid-ask的存在，某一个时间切片时的last会有偏差，那么回测的时候用last来算就会出来一根非常漂亮（45度往上）的曲线，但是现实中其实不曾存在过那样的偏差。要做这种回测，最残酷的方法就是用tick数据下的bid - ask对价作为你的策略成交价，如果
Ask price SL hunt protectionNOYES Placing orders at closed marketNOYES Main functions: Lot size calculation by risk percentage Total TG profit and SL risk, Gain %, Risk % Target RR ratio, profit, pip distance Liquidity detection (Order execution when LQ is detected) ...
两个合约如果相关性够高，那么必然大方向上last price会走的很紧，然后由于bid-ask的存在，某一个时间...
Bid Wanted: This phrase typically relates to situations where a buyer is seeking a lower price than what is currently being asked (the "ask" price) for a security. Essentially, it means the buyer wants to purchase but at a better deal than the market offers. 求售:相反,求售表明卖家希望以...
If a market order is placed when the market is closed, it will be executed at the bid or ask price when the market opens. A market order guarantees an execution but does not guarantee a price. A market order could be executed at a higher or lower price than what was quoted to you....
Ask price SL hunt protectionNOYES Placing orders at closed marketNOYES Main functions: Lot size calculation by risk percentage Total TG profit and SL risk, Gain %, Risk % Target RR ratio, profit, pip distance Liquidity detection (Order execution when LQ is detected) ...
Due to the levels of volatility affecting both price and volume, the Company seeks to provide client orders with the fastest execution reasonably possible. Client’s orders (Buy Limit, Buy Stop, Sell Limit, Sell Stop, Stop Loss and/or Take Profit) are executed by the Company at the re...
(1999), "Bid-Ask Spread Components in an Order- Driven Environment". Journal of Financial Research, Vol 22, pp. 227-246.Brockman, P., and Chung, D. (1999). Bid-Ask spread components in an order-driven environment'. The Journal of Financial Research, 22(2): 227-246....
time1_bid_price1_bid_vol1_ask_price1_ask_vol...n_ask_vol 29041353544851 223.39 100 ... ... 29041495720727 ... InstallationOS X & Linux:git clone https://github.com/martinobdl/ITCH cd ITCH makeIn order to get some data needed to run the program (800MB)...
Price improvement means that your buy or sell order was filled at a price better than the National Best Bid and Offer (NBBO), which is the highest bid and the lowest offer for a stock at any moment. For a detailed, streaming real-time view of what the current bid and ask is for any...