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Sudhir,
start mapping all that realtime Bid/Ask data into
an excel spreadsheet. The issue that cannot be tracked
on a tick bar basis, is that if in fact all price
levels are taken out on say the bid and you are limit,
price levels may in fact for just a split second drop
to the next lower level, however, not even one
contract will trade at that level.
This happens to me quite often in the Nq e-mini
futures contracts.
So often that in fact I use this to my advantage when
stepping into an order and "jumping" on the train as
it is just about to leave the station, so to speak.
m
--- Sudhir Menon <sdhrmenon@xxxxxxxxx> wrote:
> Hi all,
>
> First of all thanks for your inputs on my
> question.
> Here is something I will like to add to this.
>
> The forex strategy I am working is primarily for
> Scalping which runs on 15 min bar. Since it is for
> scalping I dont want to put generic slippage of 1
> tick
> or two ticks. (If I add that then my system will
> become unprofitable ) I want system to calculate
> prices for entry and exit and want to stick to it.
>
> Now as I explained there are cases where price is
> reached but maybe only one cntract is traded and in
> backtest I am shown as possible fill but that may
> not
> happen in reality. So I want to test in such a way
> that at exit if 1 pip is crossed over I presume I
> got
> that exit price else I presume I did not get the
> price
> and try to exit on next bar.
>
> Once I know how to test this I will do two tests
> one in a normal way - without any cross over ( Which
> shows good profit now ) and one in a way I am
> searching - i.e. by checking the actual high or low
> crossed over atleast by one pip. If this system also
> shows profit then my reasoning is that the profit I
> can expect is the airthmatic average of both above.
>
> Does that make sense ?
>
> Regards,
>
> Sudhir
>
>
>
>
>
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