I am using CMS automated trading systems, and one issue I have is that after a buy or sell signal is generated, the order is filled at the end of the price bar instead of when the signal is generated. Since the fills are at the end of the price bar, I have experienced numerous fills of 20 to 40 pips higher than where the actual signal is generated. Are other trading systems structured the same way, or can they be programmed to fill the order exactly when the signal is generated? If so, any recommendations appreciated.
- #2
- Last Post: Dec 14, 2005 2:02am Dec 14, 2005 2:02am
It's just a matter of altering your code to not enter on close, however that is not a very good idea. For example, if a system relies on 2 indicators crossing to generate a signal, these indicators can cross & uncross multiple times on an unclosed candle. Therefore you might get several signals and in most cases false signals during candle formation, before its close.
Let me know if you need a more in depth explanation.
Good luck,
Let me know if you need a more in depth explanation.
Good luck,