How to predict a stock's opening price?

K

Kever

OK, OK, I'm not asking for a crystal ball. I am working on a ATS that needs a decent prediction of the opening prices for a list of stocks. It needs to make the prediction in time to place an order to be executed at the open - let's say 9:25 or so.

I'm talking about large SP500 kinda stocks. I thought about looking at premarket trading but it is too thin. Many of these stocks frequently have no premarket trading. Would the futures market be reliable? Can I get bid/ask data before the open? Since we're talking ATS it can crunch most any data.

Any ideas would be helpful.
-Kever
 
Use the ECN trades at this point, since we no longer have opening indications...that's my best guess so far. Of course, we always compare to peers and pairs pre market as well.

Don
 
Quote from Don Bright:

Use the ECN trades at this point, since we no longer have opening indications...that's my best guess so far. Of course, we always compare to peers and pairs pre market as well.

Don
More...

"Guess". Just that.

I don't think an AH ECN trade is a reliable predictor of much of anything. Just people thinking they're getting an edge. Shortcuts. Over-anxious. Flying blind. Quite possibly induced by news (or anticipation of news).

Seen countless opens far from any pre-market fills, bids, or offers.

The poster mentioned "large S&P" so the assumption is made the matter pertains to NYSE.

The open is the ONE price during the "day" (as opposed to AH) ALL participants "get". In theory ...thee.... price the specialist establishes to clean out the most open orders. Spiel about fair and orderly markets. True imbalances result in delayed opens (or halts) with which to locate shares.

In reality to move away from his long or short basis OR ..................to induce order flow (inventory merchandising). Gaps being to accomplish this with a flick of the wrist. Multiply shares outstanding by the amount of the gap to quantify the theoretical dollar magnitude. Ax is snagging a piece of that. It's his realm.

I don't think there's a reliable/consistent way to "predict" opens other than conceptually: A strong close implies a strong open (and vice versa).
 
Of course there is no way to predict the NYSE opening prices, and there shouldn't be - this is one of the few places where the true supply and demand comes into play. I've traded opening only orders for decades, and have found that being on the same side as the Specialist on the open is a good place to be...almost the "bread and butter" for many of our traders.

We had a few traders who were "relying" on the pre-market indications that are no longer being shown, and my pre-market ECN comment was just a way to get "some idea' - not anything that I would count on.

All the best,

Don
 
Index futures vs. fair value give you a nice estimation of where the MARKET will open.

If your individual stock hasn't had significant news overnight, it would likely follow the market.

After hours trading, would also give you a good estimate of the open.
 
I have been religiously following/recording postmarket, premarket and "Opening" data for GOOG for the past 2 years and can say unequivocally for GOOG, ONLY, that there is no necessary or consistent relation between what goes on in the after hours markets (postM and preM) and what the opening price is. Zero, zip, nada.

I agree with a previous poster that the OP is a critical price but there are problems in actually finding out what it is - real problems. Some days the GAOOP (Generally Accepted Official Opening Price - my acronym) is = the NOOP, especially since Reg NMS moved into the "post - July 9, 2007" period. Some days, the 5 quote services [Bloomberg, NASDAQ-Infoquotes, Google Finance, Quote.com and Prophet Finance] which I check every morning and my 2 data feeds [eSignal and DTNIQFeed] have the exact same opening price and it is = the NOOP.

On the other hand, other mornings, like this AM, I find something like the following:

Bloomberg and Quote.com = 519.01
Google Finance and NASDAQ-Infoquotes = 519.10 = the NOOP
Prophet Finance = 519.13

So tell me, what is the GAOOP today?

I have noted in the past that when Bloomberg and Infoquotes disagree, I am usually unable to find the "Bloomberg Price" in the trade-filtered T&S data I get each AM from the "NOII" link at the NASDAQ site (by subscribing to the NOII service you get access to a "Stock Stats" page which has chart data for NASDAQ-listed stocks like GOOG and as well a "Time and Sales" page which gives you BB/BA trade-filtered T&S data). I've included a printout of this AM's data around the RTH open and as well some comments about today's data when compared to another day's data.

These are not isolated findings. I have seen this sort of thing many, many times. There are other important questions which arise from these data, IMO, but I will not get into those right now. Suffice it to say that trying to "predict" the opening price from the premarket is not a good idea and is an excellent way to lose money.

lj
 
Quote from ljyoung:


On the other hand, other mornings, like this AM, I find something like the following:

Bloomberg and Quote.com = 519.01
Google Finance and NASDAQ-Infoquotes = 519.10 = the NOOP
Prophet Finance = 519.13

So tell me, what is the GAOOP today?


lj
More...

519.10, which is the price at which the NASDAQ opening cross printed today. Nasdaq Info-quotes is giving you the correct value.

"Q: How does the Opening Cross affect the NASDAQ Official Opening Price?
A: The Opening Cross sets the NASDAQ Official Opening Price. If an issue does not have an Opening Cross, the NASDAQ Official Opening Price is determined by the first last-sale eligible trade reported at or after 9:30 a.m., ET, when regular trading hours begin."

taken from:

http://www.nasdaqtrader.com/trader/openclose/openfaqs.pdf
 
Thank you giggolo.

My question was sort of rhetorical and I would agree with you that indeed the NOOP was 519.10 and that is what I am using as the opening price for GOOG.

If I might push on then. What if any meaning is to be attached to the fact that at least as of 13:51 ET, Bloomberg site continues to list 519.01 as the opening price (so does quote.com, while prophet has changed to the NOOP)?

GOOG:US
Google Inc
Industry: Web Portals/ISP
Add Security to your Watch List
13:51 NASDAQ GS Currency: USD
Price
515.900 Change
-4.220
% Change
-0.811
Bid
515.870 Ask
515.980 Open
519.010
Volume
4,757,186 High
520.000 Low
513.990 52-Week High
558.58
(07/16/07) 52-Week Low
363.36
(08/03/06) 1-Yr Return
32.333%
More...

My answer would be "I don't know" BUT the reality is this. Unless there is some sort of "Market-wide [NASDAQ/NYSE/AMEX/etc.] Stamp of Approval" associated with the NOOP, and I don't believe such is the case, then we don't really know what opening price the majority of market professionals (across all markets) used this AM. Did the NASDAQ associated MM's use the NOOP and the NYSE/AMEX specialists use the "First/Consolidated" quote? Do you know?

lj
 
Quote from ljyoung:

Thank you giggolo.

My question was sort of rhetorical and I would agree with you that indeed the NOOP was 519.10 and that is what I am using as the opening price for GOOG.

If I might push on then. What if any meaning is to be attached to the fact that at least as of 13:51 ET, Bloomberg site continues to list 519.01 as the opening price (so does quote.com, while prophet has changed to the NOOP)?



My answer would be "I don't know" BUT the reality is this. Unless there is some sort of "Market-wide [NASDAQ/NYSE/AMEX/etc.] Stamp of Approval" associated with the NOOP, and I don't believe such is the case, then we don't really know what opening price the majority of market professionals (across all markets) used this AM. Did the NASDAQ associated MM's use the NOOP and the NYSE/AMEX specialists use the "First/Consolidated" quote? Do you know?

lj
More...

The opening price for a stock is set by the "primary exchange" on which the stock is listed. NASDAQ is the primary exchange for GOOG. Therefore, the NASDAQ Official Opening Price is the official opening price for Google. You should contact Bloomberg Support and ask them why they are not displaying the Nasdaq official opening price as the "open price" for GOOG.
 
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