Backtesting Spreads differ
Backtesting Spreads differ
14 Apr 2013, 21:42
I am getting issues with the way CAlgo produces bactesting data, particularly spreads which will generate different prices despite the code not changing over the same periods. Spreads seem to be pegged to 2.6 bips but then other times 5.2 bips (fixed for each tic). I cannot understand the logic and it does not relate to my implementation.
Replies
fullmonte
15 Apr 2013, 21:57
RE:
Please check the backtesting settings, you may choose which method you would like to use for the spread, fixed value, random or current live spread. If you are not using fixed value the spread will vary.
I did not know that you had different settings.Thanks for this.
@fullmonte
fullmonte
19 Apr 2013, 14:53
RE: RE:
cAlgo_Fanatic said:Please check the backtesting settings, you may choose which method you would like to use for the spread, fixed value, random or current live spread. If you are not using fixed value the spread will vary.
I did not know that you had different settings.Thanks for this.
same, it was the first I knew. I suggest you make the settings more obvious, this was a huge issue for me and it already had an elegant configuration which I had no idea was there.
@fullmonte
cAlgo_Development
19 Apr 2013, 15:10
Thank you for the suggestion. We'll think how to redesign user interface to make it better.
@cAlgo_Development
cAlgo_Fanatic
15 Apr 2013, 12:32
Please check the backtesting settings, you may choose which method you would like to use for the spread, fixed value, random or current live spread. If you are not using fixed value the spread will vary.
@cAlgo_Fanatic