Hi Don, Thanks for that quick response. It looks to me like Yahoo has composite opening prices. If you look at FRE for 4/9/08 ( http://finance.yahoo.com/q/hp?s=FRE ), you see it opened at 25.60, yet I was filled at 25.99. I realize that I am departing from the classical application of this sytem by attempting a fully automated implementation. I also do my stock selection differently. I hope I am not seen as a heretic or nut case. On another matter, why do you use a spreadsheet to enter trades? I understand that you have programmers on staff. Couldn't you have them write a custom order launcher for you? Mine is sooooo much easier to use. O.K., I'm a lazy pig. Thanks again for sharing this approach. [rwk]
I heard there were some problems with closing imbalances yesterday too...which tends to bring out all of the conspiracy theorists.
I have a couple of pretty robust programs that I use. Sends 200 orders in about 7 seconds, sends variable retracements, keep track of P&L daily, "kill switch" all sorts of stuff. We use the Redi Add-in on Excel for this. Don
The "problem" was that we had giant sell imbalances at 3:40, which switched to massive buy imbalances at 3:50...no system problems or anything, just a lot of orders I guess. Don