Abstract: In recent years, the rapid development of high-frequency
trading in the global financial market have gained widely attention.
“Holding period for the assets is short but frequent” and “tiny
yields in every trade” cause the trading sensitive to the
transaction cost, in which the transaction price is the core. In
this paper, a new transaction price model is constructed with the
position information. Applied to the MACD indicator strategy, it has
a good performance and bring a better return.

Key words: transaction price, bid-ask price, volume, high-frequency trading