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Does any EOD data vendors provide daily data based on Regular Trading Hours
(RTH) only? I see that most (all?) are including the night session.
Difficult to complain as even the exchanges are including the night session
as part of their "official" prices.
Case in point:
A buy is generated in Japanese yen to be placed on 6/19. CME shows daily
bar open as 95.59 - actually if you waited for the "real" open on Monday
morning you would have been filled at 96.27. So let's say you are working
on a system showing two day trades. By the close on Tuesday yen is a 96.42.
You system reports a profit of .83 - not bad. But in actuality, your profit
is only .15!
I've seen a lot of discussion of data vendors and system testing on this
list but have not seen this issue addressed. To continue the yen example,
how many of us are looking at and placing orders in the half hour between
the end of the RTH and the start of Globex trading? I know I'm not.
Tom Lisk
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