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Congrats to Yuki for posting nr 100000. Look forward to the next 100k.
PS
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxx> wrote:
>
> Hi intermilan04,
>
> This is, of course, not a one-size-fits-all situation. It is one of
> the reasons a particular system designed to buy or sell *anywhere*
> will produce somewhat varied results with varied instruments.
> Liquidity varies from symbol to symbol and market to market. Make a
> note of that. ^_-
>
> I never buy on the open -- ever -- unless I'm fading a sharply lower
> open, or covering. I sell a lot on the open, particularly into
> strength. I'd only short on the open to fade power, never to chase.
> But I don't short much these days anyway -- for the same reason I
> play the Don't Come bar instead of the Come, when I'm feeling silly
> enough to do something like gamble, where the odds are always
against
> me anyway. But that doesn't mean you shouldn't buy on the open, or
> short. It's just my personal preference.
>
> But ... I don't expect to be able to sell 20,000,000 yen value of
XYZ
> company on the open as easily as I can sell 20,000,000 yen value of
> ABC company. By and large, I look for vehicles with the liquidity
> that I require, and ignore the rest. I absolutely don't care about
> stocks that are not really, really liquid. Occasionally, I make
> exceptions, but the exception is always accomplished by reducing
> position size, to accommodate reduced liquidity, which is another
way
> of saying to accommodate higher risk.
>
> You should know a few things if you don't already ...
>
> 1) When you put a market order in prior to the open to be executed
on
> the open, member firms can probably see it. I mean size, price,
> margin or cash -- the works. They know who you are and what you are
> doing, or at least they do over here. I can't speak for all
> countries or exchanges of course, but I would assume when it comes
to
> money, there are people with an edge, legal or illegal. When it
> comes to money, people with an edge usually can be expected to
> exploit that edge.
>
> 2) You should be trading positions that are inconsequential to
> typical opening volume, if your plan is to buy or sell there. In
> other words, if you *care* if they see your order, you are trading
> too large for the liquidity. If I'm selling 20,000,000 yen value on
> the open, it had better be into a market that typically does nearly,
> or even better, more than, a trillion yen value turnover on the
open.
>
> This isn't rocket science of course, but the main thing is, you want
> to be either invisible, or inconsequential. If you are
consequential,
> and visible, somebody with deeper pockets than you might develop an
> interest to see just how strong your stomach is. Always remember
> that you are playing in a field where there is an enormous disparity
> of size. Some people can blow, on a whim, with regularity, what to
> you would be consequential money. It's just that, to them, it's
> pocket change, or other people's money -- or both. If they can see
> you, and they smell weakness, I guarantee they will come after you.
>
> Most players understand these ideas instinctively, and so most
member
> firms don't spend a lot of time looking over all the pre-market
> trades. But put something in worth noticing, and don't be surprised
> if it gets noticed.
>
> So, if you are not trading more than a percent or so of opening
> volume, I wouldn't worry about it very much. The more your
> percentage of opening volume rises, the more risk you take on
trading
> there. If you are trading a very small fraction of opening volume,
> you simply aren't worth jerking around; anyone who tries to jerk
with
> a deep market takes on enormous risk themselves. So you won't get
> jerked around if you don't make big ripples, so you probably have
> nothing to worry about if that is the case.
>
> Of course, the less *absolute* liquidity there is (we have been
> talking relative liquidity so far), the more volatile openings are
> going to be. In that case, you need to *really* sneak in and out,
> probably. My advice in a nutshell: Stick to *very* liquid stocks,
and
> when you can make a consistent living at those, very, very carefully
> step out and see how you do where the risk is, I guarantee you,
> higher.
>
> If you don't know exactly how your market works (as you indicated),
> you'd better learn. If you trade vehicles with low opening liquidity
> ... you need to know what your risk parameters are, and if the
> liquidity isn't sufficient to accommodate those parameters, you need
> to cut your position size until you achieve a fit.
>
> This is a tough business full of very smart people, many of whom are
> honest, and others who would sell their sisters to a complete
> stranger if the price was right, maybe even at a discount. This is
> the great watering hole of planet Earth. Clever animals can quench
> their thirst, but a lot of bad things happen around most watering
> holes, too. Keep your eyes open and your wits about you.
>
> Lastly, never expect to get 100 percent of what your system does in
a
> backtest. Develop a really good system, so you don't have to. ^^_^^
>
> Yuki
>
> Tuesday, August 15, 2006, 3:30:37 PM, you wrote:
>
> i> Hi all,
>
> i> I'm just curious if anyone here are buying and selling securities
> at
> i> the open with market orders, i.e. orders are placed BEFORE MARKET
> OPEN
> i> and they get executed as soon as the market opens.
>
> i> I have noticed that buying at the open might help you get cheap
> i> shares, but the reverse is also true...you might sell your shares
> at
> i> really bad bids.
>
> i> The reason why I'm bringing it up is, my system on Amibroker is
> i> designed to trade at the open. And strangely enough, my system
> isn't
> i> doing too well ever since I started using it...perhaps it's
> because
> i> I'm getting bad bids and asks by placing market orders overnight?
>
> i> I'm not quite sure how the first trade occurs, in theory I sell
> to the
> i> highest bidder but with low liquidity of pre-market trading, what
> if
> i> the highest bid is absurdly low?
>
> i> Any thoughts on this is greatly appreciated.
>
> i> Regards,
>
> i> intermilan04
>
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