|
PureBytes Links
Trading Reference Links
|
I have noticed that for the daily data I get for things like CBOT bonds or
the DJ, the open is the open of the afternoon session, and the close is that
of the previous day session. This means that gaps are small.
However, large gaps can show up between the "suspend" of the evening and the
"resume" of the day session. Since these show up in the middle of the daily
bars, doesn't this have the effect of drastically increasing possible
slippage making it quite difficult to test systems based on daily data?
Does this mean you really need tick-by-tick data to test daily systems?
Joe Slater
|