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Joe Slater wrote:
"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?"
I you trade the S&P, the Bonds and the currencies you are definitely obliged
to take into account the afternoon/night session. If you use a real time data
feed, with TradeStation you may see your system generate a signal at the close
of Globex. Then, at the close of the regular (day) session it will recalculate
its indicators and issue a new signal (or not). Omega research after several
request appears willing to ignore the problem. Anyway, not only you have to
take into account the night session but, if your system include stops, you
have to be ready to trade during the night. Most of the brokers do not take
stop orders for the night session. If the market reach your stop level you
must be able to place your order.
Otherwise, indeed, your slippage may be huge. By daily systems, do you mean
day-trading systems? For day trading systems, no doubt that you need tick-by-
tick data.
Good Luck
Jean Jacques
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