However, as NT is essentially asynchronous, we have to make a decision as to what is really the most realistic price. As many pundits say, anything is only worth what the last person agreed to pay for it. In that regard then, e.Price (last) is the exact last price at which any reported transaction was made. What someone wants for it now (bid or ask), is rather irrelevant, would you not say? After all, nobody has yet agreed to transact at that price.
e.Price(last) will not always match Close[0], because they are actually triggered by different events asynchronously, and their actual reporting is subject to the Windows event/messaging queue, quite independently of the NT event queue.
I apologize if I sound like I am waxing philosophical. I am just trying to explain my reasoning.
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