Commissions / Slippage in Trade Log?

Commissions / Slippage in Trade Log?

Dave W.
2014-03-09 18:39:15

Is there a simple formula I can add to an AMM script to show commissions and slippage by position in the trade log?

I thought I could probably do this using, for example:
Functions.AddTradeMetric("Commissions", pos.[SOMETHERE HERE]) ;
Functions.AddTradeMetric("Slippage", pos.[SOMETHERE HERE]) ;

... but I looked for a pos property to do this, and didn't see one.

Thank you.

QuantShare
2014-03-10 12:43:53

Best Answer

There is no property to get commissions and slippage. But you can calculate them knowing your setting and given position details.

Example (commissions $2/share)
pos.NbShares * 2

Dave W.
2014-03-11 19:55:04

Understood. Thanks.

Please consider adding a property to the pos object in a future release for commissions and slippage so we don't have to set it in two places in order to see the information in the trade log (e.g., in a money management script + in the system settings).

Dave Walton
2014-05-18 07:03:11

QS, you already provide the ability to get the commissions in an AMM script via the .EntryCommissions and .ExitCommissions fields. I agree it would be nice to have slippage as well. Actually it would be nice if we could set slippage programmatically in the AMM script.

Torsten
2015-01-16 11:58:10

Hi QS,

I would appreciate direct access to slippage in the AMM as well (e.g. pos.EntrySlippage) or more custom variables (var5,var6,..).

It seems like the slippage calculation in the "Statistics" tab does not consider the point value of futures. Could you please check.

Thanks,
Torsten

QuantShare
2015-02-24 10:37:56

Hi,

We will add the ability to access slippage.

Regarding "var..", you can associate an object/class to a Var1 and thus store unlimited variable.

For futures, I am not sure I understand what you mean. Can you please explain Torsten?

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