UoB-DSMP-2023-24 / dsmp-2024-group18

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Update buying and selling price for the trading strategy #27

Closed timmulvaney closed 6 months ago

timmulvaney commented 6 months ago

Error in buying and selling used mid-price instead of ask1 or bid1

timmulvaney commented 6 months ago

After extensive testing, it was found that due to the decreasing liquidity and increasing difference between ask1 or bid1.

The strategy either: A buys, shares initially but then never sells Makes almost no buys or sells.

timmulvaney commented 6 months ago

In order to allow the comparison of the models to trading signals, the mid-price will be continued to be used.

This issue will be discussed in the report with the suggestions of using a more varied threshold