Hello,
I have a long-only strategy that requires to buy 2 non-leveraged ETFs (and sell previous 2 ETFs) at the close of the week. Since backtest is made on closing prices I need to buy/sell as close as possible to closing bell at 16:00. All ETFs have at least 100.000 avg. 3-month volume, and spreads from $0,01-$0,05.
So what is the best way to trade that situation? My plan is to:
1. Sell old 2 ETFs @ 15:59:00 MTL (market-to-limit)
2. Buy new 2 ETFs @ 15:59:30 MTL (market-to-limit)
3. Position size for each ETF is $50.000
I was also looking at MOC (market-on-close) orders, but I can't use them since I have to sell old positions first and submit orders till 15:45 (NYSE).
The only concern here is that my orders won't be filled becouse of market-to-limit order, short execution time and position size. Does anyone have a better solution or can tell from his own experience what works best? I guess liquidity of ETFs is not a problem as they buy/sell portfolio in realtime?
I have a long-only strategy that requires to buy 2 non-leveraged ETFs (and sell previous 2 ETFs) at the close of the week. Since backtest is made on closing prices I need to buy/sell as close as possible to closing bell at 16:00. All ETFs have at least 100.000 avg. 3-month volume, and spreads from $0,01-$0,05.
So what is the best way to trade that situation? My plan is to:
1. Sell old 2 ETFs @ 15:59:00 MTL (market-to-limit)
2. Buy new 2 ETFs @ 15:59:30 MTL (market-to-limit)
3. Position size for each ETF is $50.000
I was also looking at MOC (market-on-close) orders, but I can't use them since I have to sell old positions first and submit orders till 15:45 (NYSE).
The only concern here is that my orders won't be filled becouse of market-to-limit order, short execution time and position size. Does anyone have a better solution or can tell from his own experience what works best? I guess liquidity of ETFs is not a problem as they buy/sell portfolio in realtime?
