Execution: at close/open/market
Author: stefanpad
Creation Date: 3/17/2016 11:05 AM
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stefanpad

#1
Hello.

What exactly does the function "at market" mean?

Example:
- closing price is 100.
- Based on last day's close I generate an entry buy signal at price 101.
- the next day the price goes up, closing at 102.
- day after opens at 102.50.

Am I right that execution will be as follows, depending on chosen functions as indicated:
- at close = 102
- at open = 102.50
- at market = 101

?
I am especially intered in the "at market. Am I right or what am I missing?

Stefan
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Eugene

#2
Hi Stefan,

AtMarket is just a synonym for saying "at next day's (bar's) open". So:

AtMarket = 102.50
AtClose = 102

In both cases you don't know the price beforehand.

AtStop price = 101 (not the actual execution price)
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stefanpad

#3
Thanks Eugene.

However, I am confused.

If tonight's close gives me an entry px level of 101, and tomorrow we would hit the 101 (& close at 102), why wouldn't the algo / backtest calculate with a 101 as entry price?

To be frank: that was and is a major assumption why we purchased this product and absolutely essential to the workings we intended to perform on WealthLab.

So this is major to us. Given all the great feedbacks I read regarding WealthLab I only want to believe that sort of basic functionality is certainly available and it was only me misunderstanding you, wasn't it?

Help appreciated.

Regards,
Stefan
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Eugene

#4
Whether you'd issue a buy at stop at 101 for tomorrow or simply buy at market next open, the price has gapped up @ 102.5 next day and so both orders would execute at 102.5 (which is the opening price). How can you buy at 101 in real life unless it's an AtLimit order?

QUOTE:
If tonight's close gives me an entry px level of 101, and tomorrow we would hit the 101 (& close at 102), why wouldn't the algo / backtest calculate with a 101 as entry price?

Perhaps because your question doesn't match the explanation. Also you're considering AtMarket and at open to be different things, as far as EOD data is concerned.

I think we're having some misunderstanding here. If you could rephrase I'd show that Wealth-Lab is not much different in this aspect than other platforms.
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stefanpad

#5
I'll have another look. I'm sure you are right Eugene.

I'll get back and thanks for the assistance.