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Opening Orders - 2008
- Thread starter Don Bright
- Start date
2 short wins on small positions, so a scratch day.
Quote from DonKee:
This strategy was originally devised as a way for you to trade exactly like the specialist/market maker.
The specialist is finding a balance point to open the stock. When that balance point is beyond the "fair" value, as compared to the balance between the S&P futures and the S&P cash, you will quite often get a "sling" shot while the S&P futures and cash get back into their normal prem difference.
This was originally devised to just trade like a specialist. Take the same side as the specialist on the open and feed out your position as it goes your way for the first few minutes after the open.
I think where a lot of people go wrong is their expectations. This is a scalp trade for a couple of pennies for a few minutes.
You can branch off from that point and try to capture larger moves, but at that point you have moved from your original objectives to managing a swing trade.
Looking at it over the course of time, the results are very similar to almost all "scalp" trading. You have a lot of small wins and losses and maybe once each month (or less) the market opens at an extreme and just completely reverses, so fast that your "feel" tells you to "stay with it". Those are the days where you make your huge profits.
Of course, there are some days during the year where the market opens at an extreme and just keeps going relentlessly and you get stuck trading your way out of a big, fat mess.
For me, this strategy wound up taking up too much of my valuable time during the first 15 minutes of trading. I determined, that for me, I was not paying myself enough during this time, using the OOS, to do it on a daily basis. I have other strategies that are working better for me during the first 30 minutes of trading, so I try to "cherry pick" the times when I will do the OOS.
It is a good strategy for those who trade at a "prop" firm and need to do their 200k-400k shares each month to pay for desk fees, etc. You will do a lot of volume. You will just need to determine for yourself if you are getting paid properly for your time and trading.
I used this strategy a few years back with some success.
I am looking at it again, and was curious how you are going about entering in your orders.
Is their a generic spreadsheet someone could offer so I could check it out further?
I am having a hard time figuring out how to incorporate the futures into where my limit prices should be, etc..
(I wasnt sure if such a spreadsheet is widely available or not, hence my asking..)
Thanks for any help you might have.
Quote from mdl060374:
I used this strategy a few years back with some success.
I am looking at it again, and was curious how you are going about entering in your orders.
Is their a generic spreadsheet someone could offer so I could check it out further?
I am having a hard time figuring out how to incorporate the futures into where my limit prices should be, etc..
(I wasnt sure if such a spreadsheet is widely available or not, hence my asking..)
Thanks for any help you might have.
the spreadsheet you speak of is the "holy grail" of the o/o crowd...kinda like charelton heston..."from my cold dead hand" ... nothing personal but a tool that fits its owner only...
Quote from wucah:
Can you correct me if I am wrong for setting up envelops today you would have used:
Fridays sp close (eminins 133450 = 1334.50 s&P) + fair value 1.42 = 1335.92
Todays Projected Open 1332.00
= -0.29% ((1332-1335.92)/ 1335.92)
And then you set your envelopes from this to whatever you want.
(sorry, I just noticed this post).
If SPOT SPX closed at 1332.83..add FV of 1.42 = 1334.25.
Emini's at 1332. Difference is 2.25
2.25 divided by spot of 1332.83 = .0017 % down expected opening. Calculate envelope from there.
Don
not trying to be harsh, but if you can not build out your sheet (meaning you understand your objectives AND what you are doing) THEN what are you going to do when you have 3 monster losing days in a row? stop? if you dont understand what your sheet is doing, as a starting point YOU already have lost and your time trading this approach is numbered, IMO.
Quote from PatrickQ:
not trying to be harsh, but if you can not build out your sheet (meaning you understand your objectives AND what you are doing) THEN what are you going to do when you have 3 monster losing days in a row? stop? if you dont understand what your sheet is doing, as a starting point YOU already have lost and your time trading this approach is numbered, IMO.
Being computer savvy (developing spreadsheet linked to an order routing system) and a decent trader that understands concepts are entirely 2 different things.
I am not that well versed in programming, etc.
Anyway, I wasnt looking to freeload, just perhaps wanted to some insight or a basic template that I could have a programmer mess with.
(the old excel spreadsheet I had awhile back had been deleted.)
But I now understand that these are more close guarded than I thought.
Didnt mean to come across like a mooch, and apologize if I did.
Quote from mdl060374:
Being computer savvy (developing spreadsheet linked to an order routing system) and a decent trader that understands concepts are entirely 2 different things.
I am not that well versed in programming, etc.
Anyway, I wasnt looking to freeload, just perhaps wanted to some insight or a basic template that I could have a programmer mess with.
But I now understand that these are more close guarded than I thought.
Didnt mean to come across like a mooch, and apologize if I did.
not so much programming but concepts...i can not program...but i do have concepts...kind of like...if this then that...once you know what you want to do you will be able to figure it out...
my point was not going after you because I thought you were a "mooch". far from it. i am sure there are 100s of excel sheets floating out there shared by many.
believing and understanding YOUR trading is a MUST and knowing HOW to adapt and adust your strategy (like OOs) for when the marketplace changes (for this strategy as it does and will overnight) will keep you in the game. I am an absolutely pathetic with programming, and excel building BUT I have put in the time over the years with excel and hired out a programmer JUST to put me in the game especially for this strategy. IMO, that is what it takes... hence IF unable/unwanting to simply start from skratch and do the work, IMO the days are numbered for any trader executing this overall strategy.
believing and understanding YOUR trading is a MUST and knowing HOW to adapt and adust your strategy (like OOs) for when the marketplace changes (for this strategy as it does and will overnight) will keep you in the game. I am an absolutely pathetic with programming, and excel building BUT I have put in the time over the years with excel and hired out a programmer JUST to put me in the game especially for this strategy. IMO, that is what it takes... hence IF unable/unwanting to simply start from skratch and do the work, IMO the days are numbered for any trader executing this overall strategy.