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recent quote from a hedge fund specializing in automated trading - emini and
financial futures:
"Attain Investors may notice that the EMD system should
have gone long much earlier in the session. This has to do with the
difference in unofficial opening price in Tradestation and the official
opening price as posted by the CME. Tradestations opening price was slightly
lower than the CME’s however the CME’s is posted 10 minutes off the open and
the market never retraced to the point where investors were required to
reverse long. Therefore, Attain investors were able to hold their positions
until the market close before reversing long for and extra +$685.00 in
profit per contract which is equivalent to +$1370.00 per contract saved when
including the next short reversal."
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