This bar on close without session

January 9th, 2021, 04:18 AM

I mistakenly posted this question in another section of the forum but I think it fits better here.

When I use "sell/buy this bar on close" I usually use a session. Usually this is because I trade the US future equity indices like S&P500 with daily bars between 8.30 am to 3.15 pm (so the .D session). Since those future markets take a break from trading at 3.15 pm I have to use a session that ends latest 3.14 pm to make sure that Tradestation actually takes the trade.

Now my question is if I have to use sessions when I use "sell/buy this bar on close" when the market actually continuous to trade after my session close?

As an example I have a strategy on the EUREX (@FGBL) and in the backtesting I have been using 510 minute bars with session between 9 am to 5.30 pm exchange time. After 5.30 pm this market continuous to trade without any breaks. My strategy uses a sell this bar on close to exit the trade. Do I have to change the session to 9 am to 5.29 pm to make sure the trade closes or would the exit order actually go through if I leave the session as it is?

January 10th, 2021, 05:08 PM

Without knowing the exact parameters of your strat and having never traded that market all I can say is that it sounds like it would be fine. The issue with selling on the close is what you alluded to, that the order generates at the exact time the market closes and therefore doesn't get to the exchange on time, so you have to front run it a touch, but if the market does not close, the order should generate at your session end and get sent to the exchange.

January 11th, 2021, 03:59 PM

kjhosken

Without knowing the exact parameters of your strat and having never traded that market all I can say is that it sounds like it would be fine. The issue with selling on the close is what you alluded to, that the order generates at the exact time the market closes and therefore doesn't get to the exchange on time, so you have to front run it a touch, but if the market does not close, the order should generate at your session end and get sent to the exchange.

Thank you for the reply. Yeah I figured as much, I guess I'll try it out in live trading to see if it works.

This bar on close without session

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This bar on close without session