How many contracts are you trading? Da
On Sun, Dec 4, 2011 at 8:25 PM, Eugene Kononov <[email protected]>wrote: > You may have noticed this line of code in StrategyES.java: > double bidAskSpread = 0.25; > This is used in backtesting, forward testing, and optimization modes. In > real trading, based on my experience, the slippage with the ES is slightly > worse, but not by very much. > > > > On Sun, Dec 4, 2011 at 5:25 PM, Da Xu <[email protected]> wrote: > >> Dear friends, >> >> Is there any statistics of the liquidity loss of ES futures? >> Specifically, for example, in a demo account, even if the ES future price >> is not changed, you buy(sell) then sell(buy) a contract of ES future, you >> lost 0.25. This is 0.25 is considered as liquidity loss. My question is >> what is this number in average for real accounts. Thank you. >> >> >> Best, >> Da >> >> -- >> You received this message because you are subscribed to the Google Groups >> "JBookTrader" group. >> To post to this group, send email to [email protected]. >> To unsubscribe from this group, send email to >> [email protected]. >> For more options, visit this group at >> http://groups.google.com/group/jbooktrader?hl=en. >> > > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]. > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
