Detailed Stock Data to Excel

"I want to sell at very close to the H". The high isn't known until the bar is closed, regardless of time frame, and by then it's too late.

Weblink has intraday data for ASX stocks.

 

If it's BHP, then you will want 50000/23.3=2145 shares to be traded at your exit price of x. Participating in the market will influence the market to some* degree. And you're right, you can't assume that if the volume is available that you will get the price you want. That's called slippage and you can allow for it in your testing.

*the smaller the ratio: my trade size: $turnover per hour, then smaller the slippage. Your average hold time will also influence the impact of such slippage on profitability. Day trading 50k of BHP would create a small but noticeable impact on profitability, I'd imagine.

 

Slippage is a simple concept and you won't need a book on it. There's two basic ways to allow for it:

1. add a certain amount to brokerage costs
2. if x is your target sell price, run your backtest on x-.05 or whatever you choose.

Or you can just trade your system in real time and see how profits compare with backtests and just understand there will be approximately that amount of difference. Don't spend too much time on this aspect unless you are trading very short time frames and every tick is important. If that's what you're wanting to do, then you need to know bid/ask prices intraday, and it gets complicated. Howard Bandy's books worth looking at, although he uses Amibroker for the most part.

Yahoo data, being free, won't let you know if the transaction occurred at the bid or ask price.

 

Try This

https://www.aussiestockforums.com/forums/attachment.php?attachmentid=62141&d=1427588533

You would need to refresh a few times during the trading day to get your price range, then just save the data to a new sheet.

 

The sheet was working for me when I just downloaded it now, I am using excel 2007. It dose not work on the Macintosh OS as the Mac excel dose not support vba scripts. You are right to be cautious about macro enabled sheets, this one however is 100% safe, it is also fully unlocked so the code can be viewed for anyone who wants to inspect its safety.

 

There is no single source of truth when it comes to slippage, it depends on lots of factors like the size you trade, underlying stock liquidity, face value of the stock (whether it's $100 or 20c), time of the day to tiny details like how you/your broker place your trade, how fast is your internet connect etc etc.

You will only get to know how these factors affect your particular trading by gaining more experience (through watching and doing).

You should definitely learn about minimum price step of different priced stocks and about spread... so take a look at CBA (~$75), AMC (~$14), PTM ($6), HSO (~$2), FXJ (~80c) and see how easy or hard it is to trade the "last" price vs sell at the highest bid.