A Transaction has a commission property. I tried using this, to increase the costs for individual trades, by setting it to a particalar value after a PlaceTrade call. However, setting this property has no affect on the position being placed as far as I can tell. Is that correct?
Also, a Position has entry and exit commission properties. Setting these has effect on the profit of the position itself, but not on the overall calculated profit and APR in a backtest. Is that correct?
The reason for asking is that I want to simulate the cost of the spread that is incurred in actual live trading. I have data with bid/ask prices, and want to include the spread as part of the costs. I currently do this by placing FixedPrice orders where I would normally place a Market order or Stop order, taking the spread into account. This works ok, but is not ideal.
Is there some other means of doing this? If I could use the Commission property in the Transaction, that would work well. Better still would be to have an additional property within the Transaction to set the actual spread. It needs to be set on a per trade basis, so not a global property.
I would like to know your thoughts on this.
Also, a Position has entry and exit commission properties. Setting these has effect on the profit of the position itself, but not on the overall calculated profit and APR in a backtest. Is that correct?
The reason for asking is that I want to simulate the cost of the spread that is incurred in actual live trading. I have data with bid/ask prices, and want to include the spread as part of the costs. I currently do this by placing FixedPrice orders where I would normally place a Market order or Stop order, taking the spread into account. This works ok, but is not ideal.
Is there some other means of doing this? If I could use the Commission property in the Transaction, that would work well. Better still would be to have an additional property within the Transaction to set the actual spread. It needs to be set on a per trade basis, so not a global property.
I would like to know your thoughts on this.
Rename
These properties are not intended to be assigned by you. They are assigned by the backtester based on whatever commission preference you have set up in the Preferences, Backtest window.
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