[R-sig-finance] Re: bid-ask bouse

[Molins, Jordi]

Like David Kane, I do not know if this is the place to discuss these issues
(although I would find interesting to discuss about them here; why don´t we
do it? R is a wonderful package for finance, and for sure lots of us have
done very sofisticated things that could be helpful for everybody - if there
are no license issues). 

But here is my thinking: probably it is extremely trivial, but why not using
bid prices when your strategy tells you to sell, and using ask prices when
your strategy tells you to buy?

For example, if when your strategy tells you to buy (t=0) the prices are
99-101, and in t=1 your strategy tells to to sell (with prices 100-102),
your P&L is:

(100-101) = -1

Instead, if you used mid prices (100 and 101 resp), your profit would be
(101-100) = +1

So, in this way you take into account the bid ask spread.

But maybe you were referring to something more complex than that.

Jordi



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