On further inspection, it looks like I also got burned on a huge closing print down on PG. Close was 61.25, when stock was trading around 62.50 prior to yesterday's bell. Opened today at 62.60, which would not have been outside my envelope for a short fill had I adjusted for the down close.
I even checked the charts for this, but totally missed it since I was filtering out all ticks except for NYSE, and eSignal seems to assume that these always stop at 4PM (PG's print was at 4:02).
This has been discussed in this thread before (maybe a couple of years ago). But for the newer people trading this strategy, you should double check for late closing prints that will alter the price you will want to use as your closing price.
