Lower slippage alternative to MOC

[nijshar28]

I suggest that you are looking at this problem backwards. Don't look for a different order type to achieve the closing price, look for a different data source that gives you the MOC price. Do your backtesting with the MOC price and use MOC orders, this is zero slippage by definition.

Thank you. We discussed above that the "slippage" I am seeing is an artifact of paper trading.

 

[cruisecontrol]

Thank you. We discussed above that the "slippage" I am seeing is an artifact of paper trading.

From experience, the quandl and yahoo data sources that you mentioned do not always take the primary auctions as their open and close prices. Even if paper trading is part of the issue here, you would still see occasional slippage in real trading.

 

[nijshar28]

From experience, the quandl and yahoo data sources that you mentioned do not always take the primary auctions as their open and close prices. Even if paper trading is part of the issue here, you would still see occasional slippage in real trading.

Thank you. That is good to know.