|
PureBytes Links
Trading Reference Links
|
Hi Fred,
Tuesday, July 8, 2003, 12:28:29 PM, you wrote:
F> This is a very interesting point which I brought up some time ago
F> in an unrelated thread, which pretty much fell on deaf ears at the
F> time, discussing same day trading systems and the implications of
F> datastreams use for testing etc. The fact of course is that what
F> is reported as the closing price of the day typically does NOT
F> happen during the market day but after its over i.e. the settling
F> price which of course we don't get to trade at.
Again, different in Tokyo. We can trade at the closing price, which
is the settlement price, actually. But getting it is a gamble.
Like the open, they have a basket of orders that they lock out new
additions to, anywhere from about 90 seconds to just a few seconds
before the actual "bell" (there isn't one) at 3 o'clock. No one
knows from day to day the exact cutoff time. Too early, and you will
get something that may be quite different than the close (we've all
seen the spreads that can develop out of nowhere at the close, even
when there has been little or no spread all day). Too late, and you
just won't get filled. There is no MOC order here. Very tough to back
test a system based on closes here. You can get a rough idea, but you
are going to be fighting all the time trying to make sure you get
filled, but still get filled close enough to the actual close to make
back test results somewhat valid. In this case, I'm not sure 1
percent "slippage" would be enough -- here anyway.
Yuki
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Inkjet cartridges up to 80% off. HP, Epson, Lexmark--we have your brand.
Free shipping on every order to the U.S. and Canada! Excellent service.
http://www.c1tracking.com/l.asp?cid=5510
http://us.click.yahoo.com/QWB0QC/.eUGAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|