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Yuki,
Is VWAP available for at least some of the stocks on the exchange?
Bob
-----Original Message-----
From: Yuki Taga [mailto:yukitaga@xxxxxxxxxxxxx]
Sent: Wednesday, July 02, 2003 6:31 PM
To: Richard Harper
Subject: Re: [amibroker] madness (was AmiBroker vs other programs)
Hi Richard,
Thursday, July 3, 2003, 9:52:10 AM, you wrote:
RH> Yuki; How do you measure order imbalance pre-market?
There is a formula the exchange uses, and if one side out numbers the
other side by a certain percentage, the stock goes either "kaikeihai"
(order imbalance on the buy side) or "urikeihai" (same thing on the
sell side).
When this happens, the bid is raised or the offer is lowered in
increments that relate to the last traded price of the stock. For
example, if a stock last traded at 480 yen, the increment would be 5
yen, if last was 501 yen, the increment would be 10 yen, and so
forth. Bids and offers are moved every 5 minutes by those set
increments under these conditions, and when the bid or offer finally
reaches a level where bids and offers match, regular trading resumes
at that level.
Pre-market, we can see the bids and offers, the screen showing the
projected opening price based on these, and the sizes. Often, these
pre-market indicators turn out to be totally invalid however, as
there can be very large movements just a minute before the open, too
late to enter an order that will be executed on the open. At some
point just before the open, the open is "locked out", and only trades
already in go into that settlement basket. Just missing that basket
with a market order can be very painful, or very pleasurable, as
there is sometimes a large "air pocket" after the opening basket
clears.
However, on a day like today, when the order imbalances are
staggering, and projections are for 4, 5, or even more incremental
moves before matching, you can be sure the open will be substantially
higher.
You just can't be sure it won't be the day's high. ^_-
Yuki
P.S. Almost everyone who paid 8 to 11 percent more on the open is in
trouble now, as prices are up about 3-5 percent now. Crowd
psychology is really dangerous. Ether side of the market. Only the
deep pocketed and very confident can stand this pull back. It's
going to be a very wild day, and I'm probably going to just sit back
and relax. When the spreads open up like this, it's time to consider
a break. ^^_^^ Odds are just about as good at the craps table right
now.
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