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I use Interactive Broker's OPG time-in-force order, not market or limit.
It gets you the open price of the stock remarkably accurately. It must
be "in-place" before the market opens.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of petler1
Sent: Monday, October 02, 2006 09:59
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Actaully trading a system
I will try to code my system to use next day open.
Do you simply buy at next day open? a market order?
What about yahoo - you can get all quotes 15-20 minutes delay not 5
hours.
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxx> wrote:
>
> You only have 2 choices:
> 1. Buy at next day's open.
> 2. Get 3:45 data.
>
> For my stock systems I buy at next day open.
> The most important reason for this is you cannot get data on more
than a
> few stocks (100-1000) real-time so you have to wait until 5 hours
after
> close to get your data anyway.
>
> If you're trading something index based, consider e-mini futures
> contracts. You can get your index based signal at the close and the
> futures trade until 4:15.
> --
> Terry
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
> Behalf Of petler1
> Sent: Monday, October 02, 2006 01:23
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Actaully trading a system
>
> Everyone who codes and tests a system with EOD data will have the
> same problem because no one can guarantee buying/selling at the
> exact closing price even if the trade is executed 2 minutes before
> close.
> I am wondering how people deal woth this problem.
> It would be greet if I could tell ami broker the trades I actually
> made and code my system to consider this external output.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@> wrote:
> >
> > Cobi,
> >
> > You have a problem in that details tell you nothing about the
> price OR
> > your signal at 3:45 since you only have daily data. To "know"
what
> you
> > want to know, you will have to get at least 15 minute data and
> test with
> > that (or change all your closing prices to 3:45 prices). The
> problem
> > here is finding that data for more than a couple of years.
> > --
> > Terry
> > -----Original Message-----
> > From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx]
> On
> > Behalf Of petler1
> > Sent: Friday, September 29, 2006 15:20
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Actaully trading a system
> >
> > Hi all,
> > I coded a system that uses end of day quotes.
> > Now I want to trade this system.
> > I tried to run the backtest with detailed log and simply do what
> the
> > system does in backtesting.
> > Problem is I do my trade 15-30 mins before end of day and actual
> end
> > of day price is different.
> > Therefore I may buy a stock based on the system run on 16:00,
but
> when
> > run on EOD the system would not buy the stock and therefore
would
> > never sell it later.
> >
> > The only solution I have is explore the system with filter and
so
> all
> > the "protfolio" work (like number of shares to buy) manually.
> >
> > Is there a better way to coordinate a system and the actual
trades
> I
> > am doing?
> >
> > Thanks a lot,
> > Cobi
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
>
>
>
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
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