Opening Orders - 2008

Don Bright · Apr 30, 2008

Quote from trom:

I saw that in the WSJ today, as well. It will be interesting to see what happens. I trade the NASDAQ open/closing crosses exclusively, no NYSE. Granted I'm biased, but I would love to see the NYSE crosses become more like NASDAQ's.

My friends at the STA are mostly brokers. I think they may have their own interests in mind vs. customers. I would actually like to see Nasdaq open more like the NYSE, single location, single pricing. We shall see what becomes of all this. Not much will happen is my guess.

Don

sucre_estave · Apr 30, 2008

6 fills, mostly small sizes, canceled each other out for a scratch day.

total_keops · May 1, 2008

Do you guys use only the NYSE auction close for the FV calculations or do you include the ECNs?

Thanks

sucre_estave · May 1, 2008

Quote from total_keops:

Do you guys use only the NYSE auction close for the FV calculations or do you include the ECNs?

Thanks

Just NYSE

total_keops · May 1, 2008

2 fills, 2 short
+ 0.20, + 0.03
Fast exit on HPQ was a good deal so far.

sucre_estave · May 1, 2008

6 short, 2 long, +666, 12300 shares

EMZ · May 1, 2008

2 L (1 loss 1 scratch)
3 S (2 wins 1 loss)
Overall about even. - Itâs a thin line between patience, and trade it quick while it's available.

Don Bright · May 1, 2008

4 winners, no losers, shoulda held a bit longer but $600 approx. Not bad.

Don

caementarius · May 2, 2008

I'd like to walk through a basic calculation to make sure I've got the gist of it. I'm sure there are many tweaks to this, as I already have some possible improvements in mind:

(data as of around 9:15 EST today)

IBM close 123.61 IBM Beta 0.95
S&P incr % 0.0083
envelope 0.5

0.007885 IBM expected increase (.95 * S&P500 increase)
124.5846649 IBM fair value (previous close + previous close * expected increase)
124.0846649 opening only Buy order for IBM (fair value - envelope)
125.0846649 opening only Sell order for IBM (fair value + envelope)

DonKee · May 2, 2008

Quote from caementarius:

I'd like to walk through a basic calculation to make sure I've got the gist of it.

I could be wrong, but I don't see where you've factored in the % increase/decrease the futures are vs fair value?