I too am looking for this information as I build a system. The ability to “call” spread as a function, or “look-up” this value would be a game-changer for sure. I’ll keep thinking of options. One option would be to look up from a list, however, as the spread varies constantly throughout the day, the list would need to be adjusted each time. Also as you mentioned, the spreads are not consistent over time. They change as the broker reacts to volatility.

I’ll keep working!

Hello? Roberto? Anyone?

I can’t get my head around what to do with this formula, where to apply it 🤔🤔🤔

Would greatly appreciate some advice on how to code a custom % spread for backtest, thanks!

thanks Roberto, i knew you’d come through 😁

one more thing though: why (spread /10000) * open ?

if spread is %, shouldn’t it be /100 ?

with positionsize = €1 and (fixed spread = 3.8) then the spread would cost you €3.80 (25044 * 0.01517% … using Vonasi’s index value)

but (0.01517 / 10000) * 25044 = €0.038 (to be subtracted from the gain)  ???

thanks Roberto – yeah, I think it must be a typo.

But today I see that the spread on the DAX got bumped up to 1.8, a 50% move that has nothing to do with any % of its value. So maybe that correlation is no more reliable than ticking the box for fixed spread.

I’ll write to IG and ask if they happen to know what the spreads were 10 years ago and when they changed … someone must know these things.

I tried to use this code to make better modelling of spread and it doesn’t make a trade.

this is the initial code that sets the betsize (BS) for the trades based on how much money the account has. it was working find until I added the code to deduct spread . Any suggestions where it is going wrong? it seems to not longer be producing the value BS so the system cannot place a trade.  Original working code below that made the BS value

ONCE MyEquity = 10000 + StrategyProfit
Gain = StrategyProfit - StrategyProfit[1]
IF Gain <> 0 THEN
MyEquity = MyEquity + Gain - myspread
ENDIF

//IG SPREAD QUOTES
sp1 = 0.6 //BS <=2000
sp2 = 0.7 //BS <=4000
sp3 = 0.8 //BS <=6000
SP4 = 1.0 //BS <=8000
SP5 = 1.2 //BS >8000
if BS<=2000 then
spread = sp1
endif
if BS>2000 and BS<=4000 then
spread = sp2
endif
if BS>4000 and BS<=6000 then
spread = sp3
endif
if BS>6000 and BS<=8000 then
spread = sp4
endif
if BS>8000 then
spread = sp5
endif

myspread = spread*BS

tippingpoint=10840*(close*0.05) //AMOUNT OF EQUITY THAT WILL CREATE BETSIZE OVER 10840 £PER POINT
equity = MyEquity*BSP //BSP PROPORTION OF ACCOUNT WILLING TO PUT AS MARGIN MAX 1
if equity<tippingpoint then
BS = (equity)/(Close *0.05) //IF MARGIN BELOW TIPPING POINT ONLY 5% REQUIRED
else
bs= 10840 + ((equity -(10840*close*0.05)))/(Close *0.15) ) //IF MARGIN OVER TIPPING POINT ONLY 15% REQUIRED
endif

this was the previous functioning code

tippingpoint=10840*(close*0.05)
capital = 10000
equity = (STRATEGYPROFIT + capital)*BSP
if equity<tippingpoint then
BS = (equity)/(Close *0.05)
else
bs= 10840 + ((equity -(10840*close*0.05)))/(Close *0.15)
endif