Open price: turning strategy into real product...

Discussion in 'Order Execution' started by mizhael, Sep 8, 2010.

  1. Hi all,

    If the strategy reads "sell 1 contract next day at open",

    and so the backtest is based on "open prices"...

    And of course when you implement this,

    you would like to sell at exactly the open price,

    is it possible?

    How off will it be if you automatically submit a sell order precisely at the opening time?

    Are there any other alternative ways to submit such open orders in futures markets?

    Or, in backtest, instead of using "opening prices", what other "approximations" can we use?

    Thanks a lot!
  2. you can use 'market on open' orders to assure you get the open price. they can be placed well before the actual open. you WILL impact that price if your orders are big enough, so keep that in mind.