|
PureBytes Links
Trading Reference Links
|
Hmm, so what is the difference between Close and Settle? Was the problem due
to Settle being two ticks below Close or a software bug? Inquiring minds
want to know.
Earl
-----Original Message-----
From: Mark Brown <markbrown@xxxxxxxxxxxxx>
To: Dejan Corovic <Dejan.Corovic@xxxxxxxxxxxxxx>; Omega-List Forum
<omega-list@xxxxxxxxxx>
Date: Wednesday, September 23, 1998 8:23 AM
Subject: Re: Two questions ....
>
>
>>Hi,
>>
>>I hope that somebody can enlight me on the following two issues:
>>
>>1. What is the difference between the 'Close' and 'Settle' price?
>> How is 'Close' price actually arrived at?
>
>
>I'll enjoy answering this one. If you have a system that generates a buy
on
>close. And that close was the Friday of Super Bowl Sunday and you had a
>Bond model that gave you a buy on that close you would have learned what I
>have learned about all of this. I knew that I was getting close to a buy
on
>the bonds that Friday and I did some calculations and I was definitely
going
>to get a buy on the close of the bonds. So just prior to the close of the
>bonds I went in and got long. Sure enough when the bonds closed Friday I
>did get a buy arrow that poped up just as predicted. So the other markets
>closed and we all went home for the weekend. Weekend over they notice the
>power had gone off in the building, they called me, I decided to stay home
>that day. They said hey the buy arrow on the bonds is missing on the Ned
>Davis system and the TS. I said no way, I still have mine. Now this
>wouldn't have been so important but the bonds had crashed and we were in a
>world of hurt. So I rolled out of bed and crawled to my trading room and
>there I had a multitude of monitors all showing buy arrow still there from
>the previous Friday close. With me so far? OK I'm telling them at work
>your nuts and your all kidding me, they claim no. So I noticed that the
>bonds had settled lower than they had closed buy I think two ticks. I got
>to thinking, they told me the power went off so I emulated that by closing
>charting in Omega TS and leaving the server running. WELL! to my surprise
>no buy arrow appeared any more! It had disappeared just like they had all
>told me, I couldn't believe that our other software product had given the
>exact same results. So moral is from now on if we get a signal on the
>closing bar of the day on a system we wait for the settlement and them
close
>and reopen to make sure its a valid system signal. If it is on the close
of
>a Friday we wait for Sunday night trading to place the order. That is the
>policy now in place. That lesson cost me about 18% this year on that one
>model, if it weren't such a good system I'd been doomed this year from that
>one trade. I will also comment you only find these things out when you are
>actually using the program to trade and you have money riding on the
>software, then and only then does every little detail about the software
>matter so much to you. MB
>
|