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Does anyone have any links to webpages that describe how the
openings are determined for any US markets?
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx>
wrote:
>
> 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@> 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;
> >
> >
> >
> -------------------------------------------------------------------
-------------
> >
>
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