This is great point. I actually meant to bring this up to you
regarding futures. When you program the system you're getting
the "settlement" price. Unfortunately, that's not necessarily the
"last" price. So you'll have a situation where you can trigger an
exit but Tradestation will give you an exit thats not where it is
currently trading. I think its especially the case with GC as
well where the settlement comes in at the close - around 2:30pm -
but it trades until 5:00pm. This is WHEN your bar ends and
the signal is generated, but not WHERE. Where is back at 2:30pm.
(I may wrong on this, but that's my understanding of it
anyway).
I think your workaround is the way to go! A coding
pain-in-the-neck, but it should work.
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This is great point. I
Mean reversion SPY/MES systems exited perfectly
Posted by pep8261 on 25th of Nov 2025 at 12:44 pm
This is great point. I actually meant to bring this up to you regarding futures. When you program the system you're getting the "settlement" price. Unfortunately, that's not necessarily the "last" price. So you'll have a situation where you can trigger an exit but Tradestation will give you an exit thats not where it is currently trading. I think its especially the case with GC as well where the settlement comes in at the close - around 2:30pm - but it trades until 5:00pm. This is WHEN your bar ends and the signal is generated, but not WHERE. Where is back at 2:30pm. (I may wrong on this, but that's my understanding of it anyway).
I think your workaround is the way to go! A coding pain-in-the-neck, but it should work.