Can anyone tell me how I can have a better attempt at trading at the "consoliated" prices instead of the official NYSE open? I use IB, so is there any order type or routing I could use? I'm still seeing the official NYSE opening prices varying widely (>1%) from the consolidated prices and it's really hosing me.
NYSE MOO Fills Worse Since 11/1/07?
- Thread starter ratan961
- Start date
I wouldn't worry too much, this was the best Opening Only Order morning in quite some time. You keep saying "MOO" - using market orders is not something I would do in any case, but especially on the open. The consolidated trades are most likely something you cannot participate in anyway. And, since we have the NMS rules, your NYSE direct orders will be filled at the proper opening price.
When I go back and check many of these consolidated trades, I see that many are "busted" and corrected anyway.
I'm interviewing all the major exchanges and ARCA for an upcoming article in TASC, and will be asking questions about this whole thing.
Sorry if you had a rough morning however...
Don
When I go back and check many of these consolidated trades, I see that many are "busted" and corrected anyway.
I'm interviewing all the major exchanges and ARCA for an upcoming article in TASC, and will be asking questions about this whole thing.
Sorry if you had a rough morning however...
Don
Same.
A strategy I am developing was spewing out fantastic results, until I looked at the time and sales... Then I saw the shenanigans of prints going off +/- .50 from where the "open" really was...
Unfortunately, it seems like I cant program tradestation to filter out these "chart manipulating" unattainable prints...
Its very annoying b/c I have no way of knowing if my research results have any merit or not.
I too have noticed very bad fills using MOO compared to the published open price (I've compared with fidelity, ib, & yahoo). The other day it was off 4% and that totally killed me. So for now I see no other option but to avoid trading NYSE stocks.
The Amex doesn't give me the open every time either but it's not as bad as NYSE.
The NASDAQ gives me the open price to the penny 99% of the time.
So what is the alternative to MOO for NYSE? If I'm at the computer I could use a limit order set to the official open price and if I don't get filled oh well. But I'm often busy at work and can't be there at the open. I could set a limit with the prior day's close. I'm going to have to test these two approaches to see if I can get results similar to backtests.
The Amex doesn't give me the open every time either but it's not as bad as NYSE.
The NASDAQ gives me the open price to the penny 99% of the time.
So what is the alternative to MOO for NYSE? If I'm at the computer I could use a limit order set to the official open price and if I don't get filled oh well. But I'm often busy at work and can't be there at the open. I could set a limit with the prior day's close. I'm going to have to test these two approaches to see if I can get results similar to backtests.
Our platform has initiated an additional field to show "primary market open/close" and "consolidated open/close" prices. A must for our strategies.
FWIW,
Don
FWIW,
Don
I use MOO orders almost every day.
Yahoo finance open prices represent the price at 09:30:00 (if a trade has occured pre-open) or the 1st trade after 09:30:00.
Nasdaq open cross prices tend to closely match yahoo prices as the Nasdaq cross occurs a few seconds after 09:30:00 and nasdaq stocks tend to trade more actively pre-open so prices are more accurate.
NYSE open prices can be significantly different from those seen on yahoo as NYSE stocks trade far less in pre-market and the price shown on yahoo might often represent a rogue 100 share lot filled a wide bid/ask. As a result, you will find that any strategy that fades the NYSE open published on yahoo will seem to make you lots of money, but in reality this is bid/ask bounce.
The NYSE cross can take several minutes to occur. I have seen NYSE stocks trade actively on ECNs for 10+ minutes before my MOO orders are crossed at the NYSE.
If you want to get hold of nasdaq open prices and volumes then go to http://emi.nasdaq.com/?tab=openclose
For NYSE open prices and volume, I suggest downloading historical data from IB or opentick but specifically requesting data from NYSE, not consolidated tape.
Hope this helps.
Yahoo finance open prices represent the price at 09:30:00 (if a trade has occured pre-open) or the 1st trade after 09:30:00.
Nasdaq open cross prices tend to closely match yahoo prices as the Nasdaq cross occurs a few seconds after 09:30:00 and nasdaq stocks tend to trade more actively pre-open so prices are more accurate.
NYSE open prices can be significantly different from those seen on yahoo as NYSE stocks trade far less in pre-market and the price shown on yahoo might often represent a rogue 100 share lot filled a wide bid/ask. As a result, you will find that any strategy that fades the NYSE open published on yahoo will seem to make you lots of money, but in reality this is bid/ask bounce.
The NYSE cross can take several minutes to occur. I have seen NYSE stocks trade actively on ECNs for 10+ minutes before my MOO orders are crossed at the NYSE.
If you want to get hold of nasdaq open prices and volumes then go to http://emi.nasdaq.com/?tab=openclose
For NYSE open prices and volume, I suggest downloading historical data from IB or opentick but specifically requesting data from NYSE, not consolidated tape.
Hope this helps.