Market close question? Futures...

M

mizhael

For futures, such as CL the crude oil,
what's the best way to hit close, if my backtest is based on daily close price?
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My understanding is that the close price / settle price is determined by the VWAP price of the last 2 min of CME market for CL the crude oil...

Any thoughts?
 
Divide your order into 12 equal sized pieces and execute one piece every ten seconds. Voila, an approximation of the VWAP over the final 120 seconds (2 minutes) of trading.
 
as described above. use a slicer. configure it to join the bid with each slice and if the slice is not executed, go to market at the end of the interval. you may beat the closing vwap using this method.
 
Quote from mizhael:
For futures, such as CL the crude oil,
what's the best way to hit close, if my backtest is based on daily close price?
More...
Simple, buy or sell "CLT".
CLT is the CME Futures contract to trade crude at settlement.
As I type CLT for X0 is 0/1 14093 on the bid, 23076 on the offer. If you buy the 1s at the end of the day your account will show a CL purchase, 1 tick above the settle. If you sell the 0s it will show a CL sale at settle.
My understanding is that the close price / settle price is determined by the VWAP price of the last 2 min of CME market for CL the crude oil...
More...
That is correct
 
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