Intraday Data and Settlement Prices

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Sir G
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Intraday Data and Settlement Prices

Post by Sir G » Thu Apr 24, 2003 8:59 am

The nature of intraday data from vendors is that it is simply the price reported from the exchange during the session times.

A problem arises on the last price print of the day, as the intraday data will show the last price traded, but the exchange will shortly thereafter send out a settlement price. The intraday data that I have seen from vendors, don't include this price.

Now, if a testing engine, say such as TradeStation calculates open position profit based on the last price print and not the settlement, that will remove any integrity of historical simulation with real-time mark-to-market.

This comes into play when using position sizing logic.

Has anyone else come across this & have you made the necessary adjustments?

Sir G

damian
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Post by damian » Thu Apr 24, 2003 10:15 am

SirG,

Not really a solution, but, well you be the judge.

In theory, it doesn't matter what price you use to MTM, so long as it is a 'real' market price (this includes the close which is often a calculation). The MTM price needs to be nothing more than 'the price' at a certain period of time [using the days (H+L/20 at the end of the day does not qualify]. It doesn't even matter at what time of the day you take the price to MTM. All the MTM needs to tell you what the value of your asset is at a point in time. It is important however that each period you use the same price entity so that you can compare like and like.

In fact, I do not even like using the close as my MTM level. I would rather MTM a long position on the closing bid and MTM my short positions on the closing offer. It is perfectly fair in my judgment to use these levels. Now, if using these levels is valid, it does not make the close price the wrong price on which to reval your book, but it does reduce the importance of using the close as the uniquely valid reval rate.

damian

Sir G
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Post by Sir G » Thu Apr 24, 2003 11:12 am

Damian-
In theory, it doesn't matter what price you use to MTM, so long as it is a 'real' market price (this includes the close which is often a calculation). The MTM price needs to be nothing more than 'the price' at a certain period of time [using the days (H+L/20 at the end of the day does not qualify]. It doesn't even matter at what time of the day you take the price to MTM. All the MTM needs to tell you what the value of your asset is at a point in time. It is important however that each period you use the same price entity so that you can compare like and like.
I meant to phrase the post in terms of working with client money (OPM). As touched on in some posts at:
viewtopic.php?t=87

You have to give the client what he/she expects if not, educating the client can be a tight rope to walk.

Consistency is the big thing I'm thinking about. If the industry bases MTM on the settlement, then shouldn't the historical simulations also be?

Sir G

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