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Spread and Slippage based on ATR

Having fixed spreads and and slippages is not always realistic.



It would be useful to have  Spread and Slippages based on a fixed value + a configurable ATR multiplier (of course multiplier = 0 means fixed values)


This should be added at least in the Montecarlo Simulations, better if also in all the Data Tabs



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  • Votes 0
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

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MS
#1

mscapin95

10.11.2022 10:17

Task created

b
#2

bentra

10.11.2022 15:00
You prefer ATR for spread and Slippage vs percentage?
MS
#3

mscapin95

10.11.2022 16:39
Let me better explain:


Data Tabs. 

Now there are a fixed values for both spread and slippage. I assume that these values are not changing during simulations. In particular for slippage I believe this is not realistic.


My proposal is  to calculate spread and slippage as follows:


-  Spread (Slippage) = Fixed Value + ATRMultiplier * ATR(ATRPeriod)


ATRMultiplier and ATRPeriod should be configurable. Default of ATR multiplier should be 0 in order to have the current behaviour as a standard


MC Tab.

The same, applied to upper limits (I believe that the lower limits could stay fixed, but they could be configurable as well in order to allow maximum flexibility)


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