I have been backtesting a trading strategy for the Dow Jones Industrial Average Index using data imported from Yahoo Finance, in Excel. I am testing using the ‘official’ open and close values as the key timings for entrying and exiting daily long trades. However, when I execute the long trades in PRT through IG Index on the ‘Wall Street’ (the IG Index equivalent for the Dow Jones), I notice that the open price for a trade in PRT IG Index at market opening time (9:30 in New York) is always gives me a much worse price than the official prices – on average it is about 30 or 40 points above the ‘official’ open price quoted by Yahoo Finance and other data providers (like Google Finance). So for example, taking the 31 of August as an example, in a trade where my Excel backtest shows me the Dow Jones opening at 21936, when I opened a trade exactly at the market opening time on that day I got opened at 21966.
I understand that the spread is one reason for this divergence, but even then the prices quoted by IG Index seem to be too far away from the official prices. So here comes my question(s):
1. Anyone has an explanation about why this happens?
2. Anyone knows which instrument can I use to trade the Dow Jones exactly at the official opening prices in IG Index (with expected slippage, ok, but not of 30 or 40 points)?
3. Is it possible to trade the Dow Jones directly (meaning at the same official prices quoted by Yahoo Finance and others) in any other brooker?
Any help would be greatly appreciated.
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