Hi all

I should know this after 12 years using Wealth Lab. Is slippage deducted from AtClose orders in WL, or only from MKT orders?

Thanks

Rod

Answered by myself: AtClose orders do have slippage deducted.

Thanks for doing the test. Note that Market, Stop, and AtClose orders still have to fill in the range of the bar, so it's possible that no slippage results from some trades.

That said, you should know that if you enter a "Market On Close" order with your broker, you will get the official closing price - there is no slippage. All EOD providers use the official settled close for the closing price on Daily bars, which can differ from the last traded intraday price.

Aside: there are exchange rules for entering and canceling MOC orders to consider.

Likewise, if you enter a MOO (Market On Open) order, you will get the primary exchange opening price - again, no slippage. In this case, however, there is only one EOD provider that I know of that uses the primary exchange opening price for its daily bars: Wealth-Data. See more about it at https://www.wealth-data.com/

Thanks Cone. What a helpful detailed answer.

With AtClose orders, in an illiquid stock or with a large order, can one assume there IS some effective slippage as one's order may affect the official closing price?