Jim Dean Elite   Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA  User Profile | Recording the info is only the start. The purpose of this is to create a viable, dynamic model that can be used for historical simulation. Since symbols vary widely as to volatility and liquidity, between symbols and over time, the model is IMHO useless as a "dumb average". It needs to be dynamic, a function of historically-measurable driving forces that logically relate to it. Slippage is very important to some kinds of trading and some kinds of symbol lists, and less important to others. Real time and RTM and any other short-term trading is significantly affected by it. Just saying "it averages out" is IMHO a way of sidestepping the issue. Not until careful studies are done using many thousands of data points could such a statement be reliably made. If such a study has been done it would be great if someone would publish it. | |
