I am backtesting an options strategy on banknifty options. The frequency is 1 min intraday. How much transaction costs should be accounted for round trips in terms of bps?
Hi Karthik,
The transaction costs are purely based on the broker and your brokerage plan. You can check with your broker for the same. If you are doing this for learning or for some academic purpose, you can explore some live trading platforms like IBridgePy to get an estimate of the cost.
I hope this helps.
Thanks!
Thank you
I assume you are working with the mids and already do not have the bid/ask data. In my opinion, option bid-ask pricing is best modelled through bid-ask of the implied vols if you are trading near-money options. Typically, for near-money options, I would assume market makes will change n times the dollar vega and m times the dollar delta - a typical case will be n=m=1. For options very close to expiry, these numbers will go up. For very out of the money strikes, usually it is impossible to model bid ask spread with much confidence.
Thanks a lot