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You're in territory I haven't covered with my own programming, but, I
believe that you can use the other sessions of the Globex and include them
in data2 even though that session isn't matched with data in data1. When you
refer to Close of data2 it will capture the morning close. You can calculate
an overbought from that. Good luck. Shouldn't be hard really.
Jim Bronke
Phoenix, AZ
----- Original Message -----
From: <cash@xxxxxxxxxxx>
To: "Jim Bronke" <jvbronke@xxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Sunday, August 12, 2001 7:22 PM
Subject: Re: Buy this bar on OPEN?
: 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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