Originally posted by dkamp
Hi dozu,
It looks like they have a "pre-market opening" scheme to get the opening price in line during the half hour before the market opens in the morning, and again before it reopens in the afternoon. This works by tying existing limit orders (which can be entered, changed, and cancelled during this period), to a "Calculated Opening Price" (COP) that is continually updated and displayed during this period. You can also enter "auction" orders during this time which are a request to fill at the COP. There is more info about this on the hkex web site.
Correct there is an auction market which lines up the prices in the Am and Pm session. Most of the time the PM session opens unched to the AM. However, every now and then you may have some news (china, japan, etc) which moves the market.
Perhaps def can answer some related questions:
- Does IB use the exchange's OAPI to directly route our orders to the exchanges (i.e., w/o human intervention)?
I'm almost insulted by the question. We would not offer a service with human intervention in an electronic market place. We have seperate API for our prop side and client side and one does not see the other. All access is direct. Once you see the speed you'll believe it.
- Can we place limit orders during the pre-market period? Can we place auction orders during the pre-market? What happens if a "market" order is placed either during the pre-market or after the open? (I'm thinking here of the nice IB feature of converting market orders to limit orders with adequate price offset when exchanges don't support market orders - what's the deal in this case with HSI futures?)
We have not programmed the auction due to little interest from most customers. However, you can place a limit order up until about 4-5 minutes before each open. The exchanage doesn't allow new orders after that time. Since the exchange does not support market orders, your order will be converted to a limit order. However, I HIGHLY advise not to do that. The market whips around and is thin before the cash opens and you could get a horrendous fill. If you want a fill on the open, it is easy enough to place your own limit order above the market before the open. [/B]
- Is the COP displayed somewhere in TWS during the pre-market period?
yes, the market bid ask will update during this time.
- Reality check: When you mentioned not trading on the expiring day of the expiration month, is this the day they are listing as the "last trading day/expiry day", namely September 27, 2001 for the September contract?
Yes, just roll the future to the next month before expiry. (front month is now August. It expires on the 30th. I'd suggest rolling to the next month two days before expiry.
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It made me wonder whether there is a low-cost Reuters feed from out there that only updates once per minute, and which the less expensive sites are trying to make appear as if it is real-time streaming, with the tape trick or the 5-minute bar restrictions...