accounting for and adjusting for slippage POSITIONPRICE vs expectedPositionPrice

• 04/28/2020 at 8:12 AM #128532
  David

  Hi team

  I’m trying to adjust future stop entry orders based on past slippage lets say for FX.

  I’m thinking a WHILE loop is the way to address this but struggling to get my head around it and also adding discount factor.

  Thanks for your help.

  POSITIONPRICE VS expectedPositionPrice

  DEFPARAM CumulateOrders = True // Cumulating positions activated entryStep = 0.001 IF NOT ONMARKET THEN BUY 1 CONTRACT AT MARKET ENDIF IF ONMARKET THEN // 2nd trade IF COUNTOFPOSITION = 1 THEN BUY 1 CONTRACT AT tradeprice(1)+entryStep STOP ENDIF // lets adjust the next Stop entry to account for the slippage // When there is more than 1 position we can start to compare // the executed tradeprice VS the expected tradeprice // based on the average price IF COUNTOFPOSITION > 1 THEN expectedPositionPrice = 0 // let's get the expectedPositionPrice // PART 1 where I'm stuck WHILE COUNTOFPOSITION > 1 DO i = i + 1 expectedPositionPrice = (tradeprice[i] + )/ COUNTOFPOSITION WEND // this would be the slippage actualSlippage = POSITIONPRICE - expectedPositionPrice // PART 2 where I'm stuck // I know we cannot just tighten the entry based on the slippage // we need to reduce it further to get us closer to the expectedPositionPrice // it must be by somefactor but what factor? adjustedEntryStep = entryStep - (actualSlippage * somefactor?) BUY 1 CONTRACT AT tradeprice(1)+adjustedEntryStep STOP ENDIF ENDIF

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  DEFPARAM CumulateOrders = True // Cumulating positions activated   entryStep = 0.001   IF NOT ONMARKET THEN BUY 1 CONTRACT AT MARKET ENDIF   IF ONMARKET THEN   // 2nd trade IF COUNTOFPOSITION = 1 THEN BUY 1 CONTRACT AT tradeprice(1)+entryStep STOP ENDIF   // lets adjust the next Stop entry to account for the slippage // When there is more than 1 position we can start to compare // the executed tradeprice VS the expected tradeprice // based on the average price IF COUNTOFPOSITION > 1 THEN   expectedPositionPrice = 0     // let's get the expectedPositionPrice // PART 1 where I'm stuck WHILE COUNTOFPOSITION > 1 DO i = i + 1 expectedPositionPrice = (tradeprice[i] + )/ COUNTOFPOSITION WEND   // this would be the slippage actualSlippage = POSITIONPRICE - expectedPositionPrice   // PART 2 where I'm stuck // I know we cannot just tighten the entry based on the slippage // we need to reduce it further to get us closer to the expectedPositionPrice // it must be by somefactor but what factor? adjustedEntryStep = entryStep - (actualSlippage * somefactor?)   BUY 1 CONTRACT AT tradeprice(1)+adjustedEntryStep STOP   ENDIF ENDIF

   

  

  David

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  04/28/2020 at 8:42 AM #128546
  David

  I think this will work for the expectedPositionPrice calculation?

  expectedPositionPrice = (tradeprice[countofposition] + (entryStep * (countofposition-1)))/2

  1	expectedPositionPrice = (tradeprice[countofposition] + (entryStep * (countofposition-1)))/2

  and would this be the correct WHILE LOOP?

  WHILE COUNTOFPOSITION > 1 DO i = i + 1 expectedPositionPrice = tradeprice[i] + expectedPositionPrice expectedPositionPrice = expectedPositionPrice / countofposition WEND

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  WHILE COUNTOFPOSITION > 1 DO i = i + 1 expectedPositionPrice = tradeprice[i] + expectedPositionPrice expectedPositionPrice = expectedPositionPrice / countofposition WEND

   

   

  

  David

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