Big difference in emulated trades in ONE and TOS

Discussion in 'General Discussion' started by Marcas, Jul 2, 2016.

  1. Marcas

    Marcas Well-Known Member

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    I'm new member of this forum which I discovered about 2 weeks ago. Since then I'm reading and reading and watching presented material with astonishment that so much knowledge is available here. Many studies I was thinking about but have no time do to are posted here with greater depth than I could reach myself.
    So, thank you all especially Tom and Jim.

    Now, last night I was watching Round Table with Ron Bertino - July 22, 2015. Excellent!
    Ron gave example of Calendar on SPX placed in High Vol environment.
    Trade was discussed on ONE platform – I tried to emulate it on TOS/On Demand with quite different results. ONE showed profit over $5000 when in TOS I have $100 profit.

    For comparison:
    (10) SPX Dec14 1870C / Nov14 1870C


    Entry: Oct, 16 2014 12:55 SPX 1861.96
    $49.30 / $37.45 --- Total $11,185

    Exit : Oct, 17 2014 12:55 SPX 1886.98
    $62.50C / $45.60 --- Total $16,900

    Profit: $5715


    Entry : Oct, 16 2014 12:55:49 SPX 1861.43
    As above $53.75 / S41.95 –-- Total $11,800

    Exit: Oct, 17 2014 12:56:17 SPX 1890.26
    As above $63.25 / S51.35 –-- Total $11,900

    Profit $100​

    I did not pay attention if Bid/Ask/Mid prices were used.

    Now, where is the difference in profits comes from? Entry and exit prices are different on both legs, especially on shorts, as well as SPX levels is different. From my understanding all calculations should be based on recorded data not on any model. Can you point out what I'm missing here?

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