How to predict a stock's opening price?

Thank you again, giggolo. Your answer is eminently logical but FWIW you are the first trader I've spoken with about this matter (and I have spoken to a number of traders) who actually comes out and says: "Yes, the NOOP is the OP for GOOG - end of story". In fact I have spoken to people at NASDAQ who say that: "Well the NOOP is just the NOOP. We are not saying that this is the "Official" opening price." I have also spoken to people at NASDAQ who say what you have said. So what I will do now is go back to the NASDAQ crew and ask them again because now there are at least two traders who think the NOOP is the opening price for GOOG.

So this thing being so, then all those trades prior to the NOOP should NOT be considered as being in the collection of GOOG trades [tics] for any given RTH session? Correct or not?

I would say they should NOT be in the RTH collection because they came before the NOOP. I am leading up to a further point but let me run this one by you first.

lj
 
Quote from ljyoung:


So this thing being so, then all those trades prior to the NOOP should NOT be considered as being in the collection of GOOG trades [tics] for any given RTH session? Correct or not?


lj
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What you're saying sounds logical to me and that would be my guess too, but I don't have a definitive answer on that one. It would depend on how the RTH session is defined exactly which I don't know.
 
Thanks for your response, giggolo. That's question numero dos for the boyz at NASDAQ, i.e., What about the stuff before the NOOP?

So then let me go to the point. Unless one has a set point like an "opening price" then for chartists, like myself, there exists the following nasty little problem.

Let's consider a 4 tics/bar candle or OHLC stick and let's say further that the Close of the candle or stick is with respect to the Open of the 4 tic bar and NOT the Close of some earlier 4 tic bar. Depending on where one "starts" for the day the candles/sticks for the entire day are going to be affected by the choice of the Open for that very first bar. This applies to not only 4 tics/bar candles/sticks but in fact all candles/sticks.

So the question is what do the market professionals use as the Open for that first bar (if they even use charts at all)? You can see the mess that's going to be generated if the charting software that a trader uses doesn't "pick" the same price for the Open of that first bar that the professionals pick. The trader is using chart data which is not the same as the professionals use.

Even if one has the best data feed one can get, if that Open is off then everything else is off.

My feeds (eSignal and DTNIQFeed) are good but I know I'm missing trades and then I have the problem outlined above because I know my charting software doesn't "automatically pick" the opening price to start the day. In fact so far as I know, there is no charting software which does.

Just think of all the traders using third and fourth tier data plus non-selective software and is it any wonder that the majority of intraday traders eventually get slaughtered.

Any thoughts?

lj
 
What you're describing sounds like a charting problem, and my theory is that it has to do with how a data provider collects trade data for a chart. If you start collecting trade data to draw an RTH chart at 9:30:00 and the NASDAQ opening cross prints a few seconds later at say 9:30:04, the opening of the first bar on the chart will be set by the first trade occurring at 9:30:00, and this trade could occur on any ECN, not necessarily on the primary exchange. Thus the open of the first bar of the chart will not display the stock's official opening price. I suspect this is the problem you're having. Unless the data provider "goes back" and adjusts the chart with the official opening price after the official opening price has printed, you will not be seeing the official opening price as the open of the first bar/candle.

The problem is with how the data provider is drawing the chart. There's a couple of potential ways you could try to get around this, ive never tried them out but ill throw them out here anyway...Some chart providers will allow you to restrict the market routes which contribute data to the chart. On Genesis Laser for example, you can specify "NYSE trades only" for a tick chart. IB TWS allows you to specify which market routes are applicable to a stock data line, so allowing data only from the primary exchange may solve the problem by preventing trades from other routes other than the primary exchange from showing up on the chart. Another possibility is to download all the official opening prices from a realtime data provider just after the open, and scan for the opening prices which are interesting for you. This would have to be done externally, not on a chart. Once you identify the stocks of interest, you can pull up the charts of interest knowing that their first bar will not be accurate, but at least you would know that you chose that chart based on the correct official opening price...
 
What you're describing sounds like a charting problem, and my theory is that it has to do with how a data provider collects data for a chart. If you start collecting data to draw an RTH chart at 9:30:00 and the NASDAQ opening cross prints a few seconds later at say 9:30:04, the opening of the first bar on the chart will be set by the first trade occurring at 9:30:00, and this trade could occur on any ECN, not necessarily on the primary exchange. Thus the open of the first bar of the chart will not display the stock's official opening price.
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Your analysis is identical to mine - the "charting problem" is related to the charting software. I have been working on one vendor to set up a loop which would allow one to quickly "dial in" the real opening price and set the Open of the first bar = the real OP, but as yet he will not change what he's doing (and what he's doing is incorrect). One can understand why NYSE-only trades would be preferable since the the first trade in RTH is in fact the Opening price.

Ah well, yet another thing to add to the list of questions for disinterested stock exchanges, software vendors and other players in the market services business. I will post what I find out from the crew at NASDAQ. Thanks for your interest.

lj
 
hello , can you please clarify what open price do you want to predict. you mean the open price for tomorrow, for example today 8/8/2013 the microsoft open price is: 32.26 usd , so you want to predict the open price for tomorrow right?


you have 50% - 50% chance that the tomorrow open price will open up or down 32.26 usd.

i can tell you with 90% precision that the opening price for tomorrow will be under 32.26 or up to 32.26.



using our algoritm we know with 90 % precision the change in tomorrow open price.if the price will open up or down 32.26. my question is ? how can i use this indice to predict tomorrow close price??

thanks.


tests for tomorrow open price 09- August - 2013

IBM - TODAY OPEN TOMORROW OPEN

189.45 >189.45 (UNDER 189.45)

MSFT - TODAY OPEN TOMORROW OPEN

32.26 <32.26 (UP TO 32.26)

FB - TODAY OPEN TOMORROW OPEN

39.14 >39.14 (UNDER 39.14)

GOOG - TODAY OPEN TOMORROW OPEN

895.49 >895.49 ( UNDER 895.49)
 
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