Re: "Exit at the close" strategy

["Gary Fritz" <fritz@xxxxxxxx>]

> I'm testing a strategy using daily bars that exits at the close. I'd like  
> to be able to exit 5 mins before the close since exiting at the close is  
> not possible in realtime. I'd like to keep using the daily bars if  
> possible.
> Any suggestions?

Your system code runs at the close of the bar, not before.  If your bar 
closes at the market close, there is no way to get the system to run 
before the market close.

You could try tinkering with your session times such that the trading 
day ends (and thus your daily bar closes) 5 minutes early.  That means 
your system won't see the market action from the last 5 minutes, but 
maybe that's not a problem.

Or you could just move to shorter bars.