Opening Only's 2010

Don/Booker,

when you say your automated your opening trades, how does your automated execution work? I mean how does your system decide when to add liquidity, when to take liquidity and where to add/take the liquidity? I guess your system just doesnt try to buy 2000 shares of DE at the ask via a single destination. I guess that will depend on the width of the bidask spread, volatility of the stock, size, liquidity at various destinations, blah blah.

I am familiar with the trade signal model, but having trouble building an execution model once a signal is given.

thanks.
 
Quote from econometrics:

Don/Booker,

when you say your automated your opening trades, how does your automated execution work? I mean how does your system decide when to add liquidity, when to take liquidity and where to add/take the liquidity? I guess your system just doesnt try to buy 2000 shares of DE at the ask via a single destination. I guess that will depend on the width of the bidask spread, volatility of the stock, size, liquidity at various destinations, blah blah.

I am familiar with the trade signal model, but having trouble building an execution model once a signal is given.

thanks.
More...

E,

Are you talking about opening the position or closing it? I don't understand what your asking.

-Mario
 
Anyone familiar with Interactive Brokers order parameters that will ensure that the order gets routed to the specialist at the open with a LOO. For example will SMART routing with NYSE as the exchange do the job. Any other values needed? Thanks!
 
Quote from anvil993:

Anyone familiar with Interactive Brokers order parameters that will ensure that the order gets routed to the specialist at the open with a LOO. For example will SMART routing with NYSE as the exchange do the job. Any other values needed? Thanks!
More...
Order type: limit
Time in Force: OPG (Opening)
SMART routing is fine, no need to specify NYSE.
A stock listed on the NYSE!!!
The order will cancel if not filled in the auction.
You may need to install the OPG feature if it is not in the drop down selection list.
That's it.
 
I still can't figure out the best time to submit orders. I usually do that 15 seconds before open (9:30 et). What I read on the nyse site is this:

Market orders and auction-only limit orders that would participate on the same side as a market order imbalance cannot be entered into the Market Order Auction between 9:29 a.m. ET and the conclusion of the auction. For example, if the aggregate volume of market sell orders in the Market Order Auction is 30,000, and the aggregate volume of buy orders (including market and limit orders) is 25,000 shares, a market order imbalance on the sell side exists — so NYSE Arca will not accept market or auction-only limit orders to sell between 9:29 a.m. ET and the conclusion of the Market Order Auction.
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As I understand if one of my envelope orders increases imbalance, then it will be rejected, right? The opposite order will be accepted. And this is what we want, right, to be on the side, which tries to equalize the existing imbalance? Why does then Don submit his orders 2 minutes before open?
 
Quote from total_keops:

Order type: limit
Time in Force: OPG (Opening)
SMART routing is fine, no need to specify NYSE.
A stock listed on the NYSE!!!
The order will cancel if not filled in the auction.
You may need to install the OPG feature if it is not in the drop down selection list.
That's it.
More...

Thanks!
 
Quote from boba15:

I still can't figure out the best time to submit orders. I usually do that 15 seconds before open (9:30 et).
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The futures is the important thing.
I usually submit orders about 3-4 minutes before open.
I see many many orders coming in about 5 minutes till,
and I want to see if the futures are going to change much,
which they usually don't...

For you, I think 2 minutes till is fine.

marc
 
Quote from boba15:

Seems nobody's trading the openings strategy anymore. Good, less competition lol.
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The strategy is dead, that's why. :)

It has has been for some time now. Imo, there is no longer an 'edge', much to what others suggest. Look at the posts from three or four years ago when the average person was making $300/day using OPGS. Good traders were easily at $500. That was an edge. Now you're lucky to average a cumulative total of .10. That's just not worth the risk for the number of orders and amount of size you're throwing out. Even expirations have lost their edge. I've been red in 10/12 expirations. It's not even worth getting up for anymore.

GL.
 
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