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I ran into this trying to simulate trading interlisted names between the NYSE and the TSX.

Depending on my strategy parametrization it would sometimes end up with a significant short or long dollar position at both venues.

At the end of the day, for each name, I compute a fifo pnl (where I mix the trades between venues by converting with the EOD fx rate) and aggregate it across days but in doing so the open position can blow up.

Do practitioners/(should I) have to simulate this type of trading in serial fashion across days carrying over the open position per name and using position limits to keep it within bounds?

I.e. when simulating intraday strategies which don't close flat does one not treat consecutive days independently in practice?

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  • $\begingroup$ What asset class? Why don't you mark to market at EOD? $\endgroup$ – Mark Horvath Jul 19 '15 at 11:51
  • $\begingroup$ Yes, if you are holding positions overnight, then you clearly cannot treat every day as a fresh start. $\endgroup$ – experquisite Oct 8 '15 at 16:50

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