Recent content by fintrabuji

So yes, stop order is a market order. (again, other than stop-limit orders)

Aren't stop orders (other than stop-limit) essentially executed as market orders?

I want to use at-market orders, so I incorporated slippage as best as I can to the execution model.

They were rarely differences in signals where one of ask and bid signaled to buy/sell but the other didn't, thus made me anxious if the difference was drastic. If you would answer this I would be grateful: When would using midprices cause significant differences in the results? For holding...

I am going to use midprice for only signal generation. For portfolio valuation and execution of orders, I am going to use bid&ask series with slippage taken into account. As a followup to your recommendation for "last traded price"; is the last traded price series the same as tick data series...

Thank you for the answer. What do you mean by "actual prints"? I am doing multiple time frame analysis with 15-min, 1-hour, 4-hour bars, but may move down to 5-min,15-min,1-hour combination in the future.

Hi everyone, Just looking for input and recommendations on the topic of using bid&ask prices time series vs mid-price time series. I have written code that outputs signals from both bid&ask time series, however rarely there are differences between the two (signals from bid and signals from...