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Since we are moving away from 1999 and the first part of 2000, I wonder if
pre and post market trading will remain hot enough to maintain the
necessary liquidity needed to swing a fair amount of shares. Don't you
think that stock liquidity will continue to fall to the point that there is
no point in focusing on pre and post market ticks?
However, I do agree that the GlobalServer ought to record every trade just
for completeness and robustness. For example, why not write a system that
only focuses on moving a few shares pre/post market? Unfortunately, at
least for the NASDAQ, Omega needs to link the GlobalServer to Level II,
because during these times of low liquidity, and during the times when
Market Makers can post a bid or ask when they don't have to buy from or
sell to you, it is important to know who is what on the best bid/ask. For
example, if your system is risking a thousand shares of INTC, or MSFT, and
your system signals an exitlong limit aftermarket, you need to know who is
sitting on the bid. If an INCA is offering to buy 1000 shares, you know
you can preference him and get out. But what if it's a market
maker? There were plenty of times when I saw 1000 shares traded at the
price a market maker was posting. But does that mean you can trade with
him also? Finally, keep in mind that all that pre/post market volume
includes blocks, which is meaningless if you need to know the
liquidity. Look at the tick volume. With the GlobalServer, you can
increase the session times and it will record post market ticks, but not
premarket (at least with a DTN datafeed using TS2000).
Anyway, as liquidity falls, price becomes less meaningful, and the
individual trade ticks during these times are less reliable in terms of the
honesty of a backtested price-sensitive system. Unless, of course, you are
doing something innovative, like writing hacks that records/analyzes level
II data which can be imported as trade ticks into the GlobalServer. In
that case, you're not bound to the GlobalServer's limitations.
By the way, the people at Omega didn't know what the NASDAQ was when it was
happening, so I never expected them to be anymore than a few years late
with it, let alone realize the opportunities pre/post market and level II
analysis. Indeed, had the bubble moved well into 2001, we may have seen 24
hour trading. I'm glad it didn't happen because SP6 still wouldn't have
been released!
At 04:16 PM 8/13/2001, Bilo Selhi wrote:
>this is a major problem with Tradestation at
>the moment, not providing pre- and after market
>price-time series for equities ( they do provide quotes )
>a system can not be currently written
>to execute pre or after market. risk can not be
>adequately managed with overnight positions.
>at same time pre and after market activity is
>very important since it has substantial amount
>of momentum, especially in pre market.
>many stocks are now trading with volume pre market
>and after market on earnings reports...
>however the users can not take advantege of premarket
>momentum or aftermarket volatiltity to make money
>or manage risk.
>
>i consider Tradestation not being able to have
>access to bar data pre and after market a
>considerable problem that needs to be
>addressed asap. it is THE major limitation at
>the moment.
>
>it was pointed out to them even before
>Tradestation Pro came out but they weren't
>listening... now NY and Nasdaq stocks
>can have 1M pre of after market volumes...
>sadly they have enough experience
>to handle the problem based on the extended
>hours futures trading.
>
>this problem can be easily corrected on the
>their side.
>- enable servers to collect data pre market
>and after market 7:30 AM to 9 PM
>- call this "extented hours session" and allow the user
>to plot that data on the charts as bar data, as an option.
>- allow EL code to be executed on those bars.
>- after market close, filter out "late trades" flagged
> ticks, about 5 minutes right after the close.
>to avoid building bars based on late ticks...
>all late ticks are tagged by the exchanges and
>can be easily filtered out or back-inserted in time.
>- on TS Pro the limit orders can be executed
>thru most of the ECNs. so the limit order
>routing will still work. market orders generated
>by the system can be executed as limit orders
>at last traded bid or ask price... it is not big deal
>to adapt the existing order routing for after and pre
>market... monitor the ECNs best bid and ask...
>execute "market" ( only limits are allowed after
>or pre market ) buy orders at best ask and
>market sell orders at best bid. limit orders
>are not affected... stops ( markets ) become
>active limits.
>
>WHY NOT DO THE RIGHT THING, TRAD???
>WHY IS IT SO DIFFICULT TO DO???
>WHY NOT DO IT ON A FULLY PROFESSIONAL
>LEVEL???
>
>ps. the only way to manage overnight risk now
>is by hedging with futures that limits the overnight
>gain potential and is not the proper solution.
>if pre and after market data is included the systematic
>risk can be easily managed per individual stock
>provided there is access to pre and after market bar
>data and limit order executions.
>
>----- Original Message -----
>From: "ed garib" <egarone@xxxxxxxxx>
>To: <omega-list@xxxxxxxxxx>
>Sent: Sunday, August 12, 2001 1:27 PM
>Subject: premarket quotes
>
>
> > Hi everyone.
> >
> > I am getting premarket data in TS2K.
> >
> > But there is a big problem. All premarket prices are
> > overwritten by official closing prices from the day
> > before. So i am getting one flat price line in TS
> > charts before market opens.
> > My real time feed is esignal and premarket prices are
> > fine in esignal charts.
> > If anyone knows a solution to this problem please
> > share it.
> > Any comments will be very appreciated.
> >
> > Thanks in advance
> >
> > Ed
> >
> >
> >
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