|
PureBytes Links
Trading Reference Links
|
Monty,
You brought up a very interesting point here.
So far, I haven't missed the "open," since I place my orders
overnight. The "open" price you see on Yahoo Finance is the price I
trade with.
I did a little bit of research on determination of opening prices.
NASDAQ determines the open by Opening Cross, which considers open
market and limit orders at the bell and all market orders that are
open at the bell trade with that price. If you place your order 5
seconds after the bell, then you might not get the opening price; but
if your order has been open throughout pre-market, you should get the
opening price as everyone else.
This is one of the reasons why I trade only on NASDAQ now...NYSE and
AMEX do not guarantee such opening price determination, and I am fully
aware of the importance of getting the exact open prices for my system
to work properly.
Now, it hasn't been too long since I started placing orders overnight;
if I start to get some erratic opening prices, I will do some
investigation and see what I can do.
Regards,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "M Webb" <the_bear_98@xxx> wrote:
>
> You might want to do a sensitivity test to see what happens to your
system if you do not get the "OPEN".
> First run the cases where the High is greater than the Open, and you
fill at some possible price within that range, and then run the cases
where the Low is lower than the Open and you get that price. Here is
an example of the code. This is not "peeking", it is allowing the
price to wander up or down, and you are getting filled at some % away
from the Open. I used to think that fills could be both over and under
the "Open" by a few cents and over the long run, it should average out
to the backtested results. Obviously this depends on what your system
is, but this is what I get with my "Buy on a pullback" system. If you
get fills more than a few tenths of a percent away from the Open, even
if they are on either side, your system can drop like a stone. Yes
there is a magic zone where if you could always buy at the nanosecond
the stock trades a few cents over the Open you make even more money-
BUT you can not let your order be "seen" or of course it will fill and
then the price will drop back a few cents. You have to let the market
wander up and then jump in. Better to just try for "Open" and see that
your system makes money even if you miss the Open.
>
> --
> Monty
> Buy = Ref(allgood,-1)
>
> AND O/L>=Varopendrop;
>
> BuyPrice = O/Varopendrop;
>
>
>
--------------------------------------------------------------------------------
>
|