Don's Opening's Journal....
- Thread starter Don Bright
- Start date
One thing to think about here is if I want to buy at 50.65 and sell at 53.35 and the specialist opens the stock at 48.5
He gapped it past my entry signal and I'm long at 48.5 not 50.65. There are quite a few stocks that open up and immeadiately run the opposite direction. The more extreme the gap the more likely arbitrage will bring it back inline as long as news isn't occuring.
RObert Tharp
He gapped it past my entry signal and I'm long at 48.5 not 50.65. There are quite a few stocks that open up and immeadiately run the opposite direction. The more extreme the gap the more likely arbitrage will bring it back inline as long as news isn't occuring.
RObert Tharp
For Don or Edge:
At what time of morning do you do the calculations? 1,5,10 minutes before bell?
Also, would it make more sense to calculate the percentage change in the futures based on their price at NYSE bell time (4:00 pm, rather than the Chicago close, since they sometimes run one direction or the other after the NYSE close?
How soon after the open do you (or the software) cancel the orders. Do you cancel if not filled on the opening print, or give it a minute or so?
Thanks.
At what time of morning do you do the calculations? 1,5,10 minutes before bell?
Also, would it make more sense to calculate the percentage change in the futures based on their price at NYSE bell time (4:00 pm, rather than the Chicago close, since they sometimes run one direction or the other after the NYSE close?
How soon after the open do you (or the software) cancel the orders. Do you cancel if not filled on the opening print, or give it a minute or so?
Thanks.
I would like to thank Don for stimulating this thread and for his contributions and rtharp and mike and edge and the other contributors. I have some backtesting to and programing to do. This thread already forced me to backtest other gap strategies. There has been some good info on this elitetrader lately.
"At what time of morning do you do the calculations? 1,5,10 minutes before bell? "
As long as you calculate it after the futures close at 8:15 Chicago time, and before the NYSE open, and there is no news on the stock that could _REALLY_ throw it out of whack, then 1,5,10 minutes before the NYSE open are fine.
"How soon after the open do you (or the software) cancel the orders. Do you cancel if not filled on the opening print, or give it a minute or so? "
If you are doing these "correctly," you are using OO orders. These cancel _AUTOMATICALLY_ if they are not executed on the opening print.
nitro
As long as you calculate it after the futures close at 8:15 Chicago time, and before the NYSE open, and there is no news on the stock that could _REALLY_ throw it out of whack, then 1,5,10 minutes before the NYSE open are fine.
"How soon after the open do you (or the software) cancel the orders. Do you cancel if not filled on the opening print, or give it a minute or so? "
If you are doing these "correctly," you are using OO orders. These cancel _AUTOMATICALLY_ if they are not executed on the opening print.
nitro
I do understand it better now. Thanks to you that explained the strategy. It is rather frustrating reading about a strategy that you don't understand and that nobody wants to explain to you. 
