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Integrate spread estimation #14
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Just to add to this incase someone wants to pick it up. To make backtesting more realistic, you might want to account for the spread to better estimate what price your trades would have been filled at, or if your limit orders would have been filled at all. There are some interesting and relatively simple methods for estimating the spread from HLOCV data. Farshid Abdi, Angelo Ranaldo, A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices, The Review of Financial Studies, Volume 30, Issue 12, December 2017, Pages 4437–4480 |
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