[R-SIG-Finance] qantstrat same period execution

Ulrich Staudinger ustaudinger at gmail.com
Sun Dec 9 18:07:26 CET 2012

but in direct response to this mail, i think that assuming to get the
close price at days end is very dangerous. in some markets the
reported close price is calculated on an aveerage based on trades done
in the  last ten minutes. while this is just a stronger argument for
end of current period execution, it is also built on a highly specific
fact. and, when the market is closed it is closed, unlike intraday

Ulrich Staudinger
ActiveQuant GmbH

sent from my tablet.

On 09.12.2012, at 15:52, af2tr <dominykasgrigonis at gmail.com> wrote:

> <http://r.789695.n4.nabble.com/file/n4652604/Screen_Shot_2012-12-09_at_14.42.29.png>
> I agree it is not realistic for higher frequencies that daily, but on daily
> data it sometimes is. Lets imagine we go short after downside cross.(vice
> versa in image) you wake up and see a huge gap like this. You don't rlly
> want to wait for the next day. Also in other cases you just wait until 4:45
> and call your broker. Market price you get will be pretty close to same
> day's close...
> I'm not intending to persuade you to change it, just making a point. :)
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