Don's Openings, Part 6 2003

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Quote from Ron In-a-sauna:

iam going on a few weeks now with trouble getting fills even on days like today. should i add more stocks?
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There are lots of different approaches and variations on this. You could add more stocks, but be aware of your envelope size. You don't want to enter 40 stocks and get filled on half some morning. How has your fill rate varied with envelope size versus the position of the S&P futures each morning. Perhaps instead of adding more stocks, you might get more aggressive with your envelope. This morning the futures were down about 8 points before the open. A 0.9 or 1.0 envelope should have gotten you some fills. It's also helpful to go back through each of your 20 stocks, see where they opened, and calculate what percentage difference that was. You may find that you missed 5 fills by only 0.5% or less on the envelope.

I've found that to be true in my case, so I know how close I'm putting my envelope. If I dropped it by 0.1%, I'd have gotten an additional 6 fills. Yikes!
 
I calculate my own. Whereas I know some people grab a pre-calculated Beta from a website or alternative source.

What do others do?

For that matter, what are the range of opinions on using Beta to compute the fair value around which buy/sell limit prices are calculated?
 
Quote from ler:


You can use any means you wish for stock selection: darts, science, chicken bones, etc. (I use a combination of the last two.)

First, I have a minimum daily volume level I'd like to see. Then I manually inspect the stocks' daily chart in MetaStock using my indicator which shows %change of open vs previous close. I like to see stocks that regularly open with %change greater than 1%, plus or minus.

I know this does not account at all for expected overall market movement close-to-open but it gives me an idea on whether a stock will participate in the strategy or not. There are some real sleepers that rarely will fill using the opening orders strategy and others that will drive you nuts and punish you. I'm looking for something between the extremes.

Just start with a small list and small size and add/change as you go.
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Just a comment....the strategy we employ on the opening is viable because we trade on the same side as the Specialist...or we are not in the trade.....this is much more reliable than any other criteria after the market opens (as always, IMHO). The Specialists have been making money for 200 years, almost as long as some of our older traders....:D

don
 
I used a .9 envelope and had no fills. No fills is ok with me, I want profitable fills.

MWD is on my list too, it would of took a .6 envelope to get a fill or you did not use the last 9:15 future price. good trade though
 
Quote from OPTIONAL777:

sell-outs

Just wondering if I said the same thing, would you respond to me?
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Hell No...I'm too stupid to realize that those who use multiple screen names need to be spoon fed responses.....and you're way too smart for that....

But thanks for asking!!

Don (King) .......:D
 
Today was good....4 fills, 4 winners up about $800 (40 cents). Needed to adjust the MRK price a bit (based on the opening price indication), but other than that, the 1% envelope worked fine.

Keep in mind that we don't 'run away" from news or earnings, we just want to be aware of what's going on. Like MRK today....taking a small profit turned out to be a good thing (since it flew up after a nice "slingshot" when it crossed past the opening price).


Don
 
Figured I'd post my results and join the crowd when I don't have too many distractions (DON!!!) and can get some OO's off.

.85 envelope this morning
Got filled on 12:
9 winners
3 losers
Average: 6+ cents per share traded

Biggest loss was MRK and my a** feels sore from what the specialist did to me. I was down a nickel when my order went in and nearly 2 MINUTES later, was down .17 when he finally filled me. No one to blame but myself though... after 30 seconds, my brain should've clicked in and I should've hit an ECN!

After 5 minutes, still had 2 stocks with open orders, so I cancelled them. Glad I did as they both went the wrong way in a big way. Any ideas about what to do if it's a while before a stock opens? Is instance typical... it's not a good OO candidate?
 
Quote from bmwstox:

Don,

Interesting ideas, maybe you should write a book

- BMW :)
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I probably will, just as soon as what we're doing fails to make traders money .....isn't that what every (yes, every) book written about trading has done in the past? Not trying to be silly here (this time), just practical.....if the book writers really had something worthy ($$$ worthy), then wouldn't they simply "up their size" and trade more, rather than trying to make a few lousy bucks selling a book or some software program. As my detractors are easy to note, I may like to promote our business, even strongly at times, and a book would likely enhance that...but having traders who do well is much more likely to help the business continue to grow.

I'll "sell out" at some point....way down the line....right now, let's just "keep on keepin' on".....:cool:
 
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