We’ve added three new functions: TradesIn(), SlippageAdv(), and SlippageVar().
These functions can be used in screens and other formulas to better identify where companies trade and to estimate transaction costs for individual stocks. Search for them in the reference for more information.
Cheers.
TradesIn("cid, cid, ...")
Returns TRUE if the company has any security issue that trades in one of the specified countries. This is useful for identifying companies with listings in particular markets, regardless of which security is currently being evaluated.
SlippageAdv(amount [, spread, impact, offset, bars])
Returns the estimated slippage in percentage for a specific dollar trade amount using Portfolio123’s Advanced Slippage model. The estimate considers factors such as trade size, liquidity, volatility, and bid/ask spread.
SlippageVar(bars)
Returns the Variable Slippage estimate for a stock using the specified liquidity lookback period. Variable Slippage is primarily based on the stock’s price and liquidity.
Both slippage functions are particularly useful in the Screener for comparing estimated trading costs across stocks and for fine-tuning the slippage assumptions used in simulations.
With TradesIn, when looking at availability liquidity, does the system look at the main exchange or the TradesIn exchange? e.g. if a stock trades in US but main exchange is Australia, and I select TradesIn US, does the liquidity reflect the Australia liquidity?
TradesIn doesn't really look at liquidity. We currently do not load any price data into the engine for every single issue that trades for a company. It would add considerable time to load. We only load the price data for the issues that exist in the universes.
TradesIn is simply looking for an active issue TODAY in the country/s specified for the stock being examined. The active issue must have had a price within the past 30 days with non-zero volume.
That's all it does for now. It's for live trading purposes ONLY right now. For example if you want to only have stocks in your universe that you can buy in your country's exchange for whatever reason. If you use it in a simulation it will only return TRUE for stocks that have active issues today, so it has a look-ahead bias. If there's a use-case in simulations we'll see about adding support for that.
Thanks
NOTE: Currently production only knows about issues in North America and Europe. Filtering for TradesIn("AUS")=TRUE returns 0 stocks. Only the beta server with global data knows about Australian issues and returns TRUE for 587 stocks in the USA.