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After having played with buying at open with Market order in NASDAQ, I
stopped doing it.
Well, I still have my orders at the open...but with limit. This
prevents me from getting some outrageous prices.
When I place limit orders, there are chances that they never get
executed. I figure it's okay, because it means the stock was above my
acceptable price of purchase, anyway.
Just my two cents,
intermilan04
--- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@xxx> wrote:
>
> I'm using Scottrade and trade on NASDAQ only.
>
> intermilan04
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mark H" <amibroker@> wrote:
> >
> > Just curious, which broker do you use?
> > I use IB and trade at open. I can get the open prices probably 95%
> of the times. Not bad but not like the 100% your broker get you.
> >
> > ----- Original Message -----
> > From: intermilan04
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Wednesday, August 23, 2006 6:52 PM
> > Subject: [amibroker] Re: Buying at open -- In Real Life
> >
> >
> > I am by no means one of the big fish in the market, but I have not
> > experienced a single occassion of slippage. The "opening price" that
> > shows up on Yahoo Finance is the exact price, down to cents, that I
> > traded with. I place orders overnight so internet connection is not
> > my issue; the order is already handled by my broker in pre-market
> > awaiting the opening bell.
> >
> > intermilan04
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@> wrote:
> > >
> > > So, this is a good lesson in slippage. Slippage WILL HAPPEN. If
> it's not
> > > the open price it will be some "surprise" like Iran or N. Korea
> drops a
> > > nuke or something much simpler like your internet connection
is down
> > > when you need to trade or your take a vacation. The backtester
never
> > > takes a vacation and never has computer problems and already
"knows"
> > > about all the wars, oil spills, etc ;-)
> > >
> > > (Not preaching to you Monty, just taking the opportunity and your
> > > research to make a point.)
> > > --
> > > Terry
> > > -----Original Message-----
> > > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx] On
> > > Behalf Of the_bear_98
> > > Sent: Tuesday, August 22, 2006 16:06
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Re: Buying at open -- In Real Life
> > >
> > >
> > > Terry, Yes, it looks like a "minutes" type test, but actually was
> > > about 750 trades over 8 years with an average holding time of 6.6
> > > days.
> > > another way to look at the math would be to simply do the
> compounding
> > > of 4% vs. 3.7% 240 times. (approximately the number of full
turns I
> > > got with my stocks over eight years--"back test" data- no way
real
> > > life would hold up.). We get 1.04^240 vs. 1.037^240 for 12,246
> times
> > > your $ vs. 6,122 times your money, or 50% less with "slippage" of
> > > just 0.3%. I think as long as you can look at things like this
in a
> > > backtested system, you will be more aware of things to monitor
> to see
> > > that you are getting close to what you backtest.
> > > Thanks
> > > Monty
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@> wrote:
> > > >
> > > > Monty,
> > > >
> > > >
> > > >
> > > > I really like your analysis and thinking on this test, but I
> > > > respectfully submit that if your system drops 50% of it's
profits
> > > for a
> > > > nickel change is price, something else is wrong -- or you are
> > > trading in
> > > > minutes and not days ;-)
> > > >
> > > > --
> > > >
> > > > Terry
> > > >
> > > > -----Original Message-----
> > > > From: amibroker@xxxxxxxxxxxxxxx
> [mailto:amibroker@xxxxxxxxxxxxxxx]
> > > On
> > > > Behalf Of M Webb
> > > > Sent: Sunday, August 20, 2006 12:02
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: Re: [amibroker] Re: Buying at open -- In Real Life
> > > >
> > > >
> > > >
> > > > 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;
> > > >
> > > > _____
> > > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > Please note that this group is for discussion between users only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > >
> > > Yahoo! Groups Links
> > >
> >
>
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