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I don't know of any way better than actually trading the market with it. I
have gotten better fills sometimes and worse others. The odds of a poor fill
are directly related to average daily volume for the stock and the amount of
your dollars per trade. you could probably write some code that would look
at the ATR for a 1 min bar whenever your system would make the trade. you
could then just use the worst case for that minute.
that's the best I can do.
Jim
-----Original Message-----
From: robert pisani [mailto:r.pisani@xxxxxxx]
Sent: Tuesday, March 28, 2006 1:26 PM
To: omega-list@xxxxxxxxxx
Subject: simulation of trades w/TS Securites
There are a number of execution platforms much superior to
TradeStation's (TradeMaven, TradeBolt, X_Trader, etc). They all
allow realistic simulation, so that you can simulate an automatic
strategy and get an idea of the kinds of fills (on limit orders,
etc.) to expect in actual trading. However, in all cases if your
signals are generated in TS you have to go through an API. I'm
considering using TS Securities brokerage/clearing, which of course
accepts signals directly from TS, but I don't see any way to simulate
there (b/c the fills in TS backtesting are not realistic at all, TS
backtesting is no help). Does anyone know how a realistic
simulation of trading with TS Securities can be done?
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