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Specifically, this is what I do in real-life:
1. at 9:15am get the figure for the S&P Globex futures.
2. Take the 9:15am figure and the regular S&P futures close from the day before and determine the %increase or %decrease.
For example: Close was 1000, 9:15am figure was 1010, so that's a 1%increase.
3. Figure a target opening price for the stock based on yesterday's close and that 1% increase figure, let's say a $50 stock, so if everything is normal, I look for it to open at $50.50
4. I think if it opens at that target plus 50 cents, it's extreme, so I put an order in that says "Sell Short XYZ at $51.01, Opening Only". This is basically a fill or kill limit order that happens only on the open.
I was hoping for backtesting purposes just to use the regular session figures as that would make my life a bit easier. I guess I could do it with the globex figures, but I'd rather avoid it if I could buy on that bar on the open. But I'm not even sure if I
could do it with the globex session as the close of the globex session comes AFTER the close of yesterday's stock, so how could I put in the order on the last 1 minute bar of the stock if I don't know what the close of the globex will be? Is there
any kind of "next bar" reference (ie Close[-1])? Or is there perhaps another solution?
Thx,
Cash
So,
From: "Jim Bronke" <jvbronke@xxxxxxxx>
To: <cash@xxxxxxxxxxx>, <omega-list@xxxxxxxxxx>
Subject: Re: Buy this bar on OPEN?
Date sent: Sun, 12 Aug 2001 16:01:58 -0700
> If you are looking to get a signal immediately after the first tick, I don't
> think a 1 min bar system will work. The best you can hope for is an order at
> the end of the bar. You would have to use a tick chart instead. I disagree
> that you won't know until the open about your decision to buy(or sell). You
> can determine the criteria on the close the day before what it will take to
> make an entry point even if that includes both price and volume.
>
>
> Jim Bronke
> Phoenix, AZ
>
>
>
> ----- Original Message -----
> From: <cash@xxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Sunday, August 12, 2001 6:40 PM
> Subject: Buy this bar on OPEN?
>
>
> : On a 1 minute chart, I need to be able to be on the first bar of the day
> and if the opening price meets my criteria, I need to place a buy order for
> the stock at that price.
> :
> : On this same chart, I also have the daily data of the same symbol as data2
> :
> : If date <> date(1) then { it's start of the day }
> : begin
> : If (Open < Close(1) of Data2 - 1) then buy("Long Open") at open of this
> bar;
> : end;
> :
> : But I don't think that works. The problem is that I need to base my
> decision to buy on the opening on data that I won't know until the opening.
> In the real world, my strategy for doing this would obviously be different,
> but what I'm trying to do would
> : work for backtesting. Can anyone tell me what do I need to do to
> accomplish this objective?
> :
> : Thanks,
> :
> : Cash
> :
> :
> : "Buy Low, Sell High"
> : (If this statment is used for financial gain, I am entitled to 10% of all
> profits. ;) )
> :
>
"Buy Low, Sell High"
(If this statment is used for financial gain, I am entitled to 10% of all profits. ;) )
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