Old thread, I know.
But instant execution is only a myth if we define "instant" to be shorter
than present roundtrip times to exchange servers. I ran into the same story
a month ago and I run into it again today.

I do agree with Samo here, I think quantstrat should have a way to trade on
a given bar's end.

Look at the following excerpt from GainCapital's FX data.

979,"AUD/JPY",2005-01-03 02:01:52,79.660000,79.740000,"D"
983,"AUD/JPY",2005-01-03 02:01:54,79.670000,79.750000,"D"
1005,"AUD/JPY",2005-01-03 02:02:07,79.660000,79.740000,"D"
1015,"AUD/JPY",2005-01-03 02:02:19,79.650000,79.730000,"D"

Were I to construct minute bars right on the minute at 2:02 based on
midpoints, I would have 7 seconds until bid/offer move further at 2:02:07.
7 seconds, that's more than enough to even call the broker and tell them
what I want to do.

+1 for adding that feature and pardon if it got added in the meantime!

Thanks
Ulrich


On Sun, Jul 29, 2012 at 3:08 AM, Brian G. Peterson <brian@braverock.com>wrote:

> On 07/28/2012 04:50 PM, Samo Pahor wrote:
>
>> Any plans to parameterise this? I mean, so that users are able to
>> set up to which frequencies trades should be done on the close of the bar
>> of the signal instead on next bar...
>>
>
> No.  Instant execution is a myth.
>
> If you want execution at higher frequencies, use higher frequency data.
>
> --
> Brian
>
>
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>



-- 
Ulrich Staudinger

<http://goog_958005736>http://www.activequant.com
Connect online: https://www.xing.com/profile/Ulrich_Staudinger

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