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PureBytes Links
Trading Reference Links
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http://www.programtrading.com/buysell.htm
I don't know how accurate they are but they claim to include actual
market conditions in their calcs. I have noticed that their buy and sell
levels vary with volatility and may have a bullish or bearish bias on
any given day. Presumably, this is due to expected slippage in one
direction or the other.
> For Friday, February 26, 1999
>
> For Execution of Buy/Sell Programs
> Our computers are set for program buying at $4.98 and
> weighted for BMY, DAL, EK, and SGP; and set for
> program selling at $.04 and weighted for BAX, CL, FDX,
> MOT, and TAN. Our FairValue is $2.55.
> Why Our FairValue Is Different
> Please do not confuse our premium execution levels
> listed above with the so called "theoretical prices" for
> buy and sell programs and fair value listed in the media
> and announced each morning on CNBC. Those prices
> are only theoretical in nature; and therefore, are not
> applicable in the real world of program trading, using real
> money, in real accounts, and trading for real profits. The
> premium or spread prices listed above in US Dollars
> (PREM) are the actual price levels which we will use
> today to execute our computer assisted buy and sell
> programs. Those prices include our clearing costs, any
> normal slippage on executions, and the effect of NYSE
> trading curbs placed on the computer entry of our
> orders.
--
Dennis
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