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"New York, N.Y. ? The Nasdaq Stock Market, Inc. (NASDAQ®; OTCBB: NDAQ)
announced it has completed its rollout of the NASDAQ Opening CrossSM,
a new, fully-transparent auction process for opening the NASDAQ
Market. Launched in October, the Opening Cross is a centralized order
facility that provides market participants and investors with a highly
transparent and accurate single opening price in NASDAQ-listed
securities. NASDAQ's market open is one of the most active points of
the trading day with the market processing up to 15,000 messages per
second."
Single opening price in NASDAQ-listed securities for overnight market
orders. So this is only in NASDAQ, not in NYSE or AMEX...it does
matter which market you are trading on.
As I had said below, if your order is placed 5 seconds after the
market open I do not think you fit in this opening cross therefore
what you said below is completely accurate.
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxx> wrote:
>
> >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.>
>
> No, No, No, No, NO...
>
> In all markets there is a Bid/Ask price which is associated with a
> Bid/Ask "Size". That is what Level II is all about...
>
> So if your pre-market open MKT order is for more than the Bid/Ask size
> at the open, then you will get executed Up... or Down the Level II
> layer(s),... ie. you are not guaranteed the "opening price". Depending
> upon your order size (combibined with other traders mkt orders), you
> could get multiple executions at different prices on your order
>
> >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>
>
> It does not matter which mkt you trade... the combination of bid/ask
> price and size should determine the prices at which various lots (both
> yours and others) are executed at.
>
> Seems like you are 'splitting hairs' on this subject.
>
> The bottom line is this:
>
> If you have an EOD backtested trading system that is profitable (and
> accounts for slippage), then quit trying to 'tell the mkt' what your
> execution prices should have been. In other words, quit counting
> per-share trading pennies and instead, focus on gross trading
> profit/loss monetary units per trade.
>
> Without wasting too much of my time on this... if I place a mkt order
> for 5000 shares the previous night, I should not be surprised to have
> five or more execution prices associated with that order before it is
> completely filled.
>
> Rgds, D
>
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