Another alternative is to use the open of the floor session as a proxy
for the price you might be able to achieve, assuming you place your
orders the next morning rather than in the break between sessions.
Or use the difference between the open of the electronic and the open of
the floor as potential slippage/MAE levels.
Note that the floor is probably likely to disappear some time in the
future though - just look at the volumes these days compared to years ago.
Cheers,
Richard.
-------- Original Message --------
Subject: [amibroker] Re: Trading futures with EOD data
From: stahlerontcom <j...@ont.com>
To: amibroker@yahoogroups.com
Date: Thu, 17 Jun 2010 04:13:17 -0000
Thanks Richard.
I appreciate the problem, but I am still curious how others are
dealing with it. I see three options:
1. Backtest with EOD data, but use realtime data to generate trading
signals.
2. Use EOD data to generate trading signals with the understanding
that actual trading will not match tested results.
3. Don't trade electronic futures with EOD data (except for possibly
Sydney & Singapore).
Regards,
-JP
--- In amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>,
Richard Dale <rich...@...> wrote:
>
> This is a continual problem with almost "23 hour" trading sessions,.
> The exchange does not provide any separate data for sessions that mimic
> the floor trading hours. They just provide OHLCVOI for the full session.
>
> Some futures exchanges, such as the Sydney Futures Exchange and the
> Singapore Exchange, have two sessions - a day and a night session, with
> a short break in between each. Data is available on:
> a) Day session
> b) Night session
> c) Night + Day session combined.
>
> If you feel strongly about this you should contact each futures
exchange
> you trade on and ask them to split the 23 hour session into a day and
> night session. The more people that contact them the more they might
> consider such an arrangement.
>
> Best regards,
> Richard Dale.
> Norgate Investor Services
> - Premium quality Stock, Futures and Foreign Exchange Data for
> markets in Australia, Asia, Canada, Europe, UK& USA -
> www.premiumdata.net
>
>
>
>
> -------- Original Message --------
> Subject: [amibroker] Trading futures with EOD data
> From: stahlerontcom <j...@...>
> To: amibroker@yahoogroups.com <mailto:amibroker%40yahoogroups.com>
> Date: Tue, 15 Jun 2010 18:30:11 -0000
> >
> > I have just starting using Amibroker and am confused on the mechanics
> > of applying a system developed with end-of-day data to the electronic
> > futures markets. I am currently working with a trial subscription to
> > Norgate premium data. I would like to scan for signals at night and
> > enter trades on the Open ( I have a day job ).
> >
> > I just realized that the data for Currency and S&P500 futures uses
> > 5:00PM as the Open for the trading session. The data is not available
> > to download until 7:30PM each night. Therefore, by the time I am able
> > to scan for a signal to Buy on Open, I have already missed it by at
> > least a few hours.
> >
> > Am I missing something here? I don't see how this data alone can be
> > used to accurately backtest a system that can be reproduced in the
> > real world. Do any data providers provide a way to alter the Open and
> > Close times to simulate a "day only" trading session? Do I need
> > real-time data?
> >
> > Thanks,
> > -JP
> >
> >
>
