-
-
Notifications
You must be signed in to change notification settings - Fork 1.4k
Open
Description
Enhancement description
Hi,
Full spread is currently applied to buy price on trade open and open+close commission only on trade close. This doesn't reflect real life and affects backtesting stop loss/trailing stop loss trigger level.
Also,, I'm using trade.pl_pct for trailing stop loss calculation and I have to subtract commission manually.
It also leads to bad optimization.
The situation should be :
- trade open: apply half-spread on buy price and also apply commission
- trade close: apply half-spread on sell price and also apply commission
Thanks a lot!
Code sample
Additional info, images
No response
Metadata
Metadata
Assignees
Labels
No labels