Opening Orders - 2008

Not sure about what is supposed to happen on July 3. I read something about a shortened trading day and opening imbalances or something like that. I'll check into it.

Anyway today. 7 fills, 6 winners, 1 small loser. Net up 35 cents.

Getting set up for the Russell....probably scan about 200 stocks, take the top 20 or so. I'm a little bummed out since I tested a new automated MOC program yesterday and had a little trouble with my computer (may have maxed out the CPU or something)... back to manual for today, back to testing the new program on Monday.

All the best,

Don
 
Same old broken record. One stock hoses the day. June has been putrid for me.

3 longs and a short, 2 wins, a scratch, and a loss, -552.

A good time for a Hilton Head vacation, which is where I'll be next week. Good luck while I'm gone, and bring on July.
 
OK, regarding changes in opening orders. Starting on July 1 they are testing displaying the LOO and MOO matches at previous day close and adding the excess in number of shares. This is "different" but may actually help. Since I put my orders in about 10 seconds before the opening...hmmmm, wonder how that might work.

Now for good news on MOC's. We will now be able to see updates every 15 seconds...this can be huge... I can't wait to see how this works.

Don
 
Quote from Don Bright:

OK, regarding changes in opening orders. Starting on July 1 they are testing displaying the LOO and MOO matches at previous day close and adding the excess in number of shares. This is "different" but may actually help. Since I put my orders in about 10 seconds before the opening...hmmmm, wonder how that might work.

Now for good news on MOC's. We will now be able to see updates every 15 seconds...this can be huge... I can't wait to see how this works.

Don
More...

Is nyse going to disseminate an indicative closing price? Or just Symbol, Side, Shares as they do now?

it's about time, the nyse gave out semi-realtime info.... still though a lot can happen in 15s...

- mnx
 
<<<< Paper >>>>

Well.......like many of you, June was also a tough month for me. Not only did traded oo stocks fill their gap less frequently than months before, their un-traded counterparts also followed their gap direction to close out at almost twice the loss of any other month. A tough month no matter how you slice it.

Below I have listed the June Overall OO stats, Traded OO stats and Total OO stats. The overall stats consist of all stocks that showed a gap pre-market with a position taken in the opposite direction of their gap with no regard for blocking orders.
The traded gap stats only includes those stocks by which my filtering told me to act upon (i.e. blocking) out of the list of gaping stocks during pre-market. In other words O(t*) <= O(T) where O is the list of gaping stocks and within it contain some combination of traded stocks t* (T denoting selection of all stocks contained within O).
Finally, the Total OO stats section contains a running total performance of t* since inception on 4/28/08.

Overall June OO stats (per share):

Average Gain: $0.20
Average Loss: $-0.95
Winners: 292
Losers: 96
W/L Ratio: 3.04


Traded June OO stats (per share):

Average Gain: $0.19
Average Loss: $-0.40
Winners: 112
Losers: 63
W/L Ratio: 1.77


Total OO stats (per share):

Average Gain: $0.19
Average Loss: $-0.50
Winners: 488
Losers: 184
W/L Ratio: 2.65


Have a happy 4th everyone.
 
Quote from gehko:

<<<< Paper >>>>


Average Gain: $0.20
Average Loss: $-0.95
More...

Come on now, you can see wherein the problem lies. I'm not a fan of stop orders, but if you're going to allow this kind of thing to happen (I know you wouldn't), then you better use those mechanical stops, LOL.

July starts tomorrow, new system from NYSE starts tomorrow as well....let's see how we need to modify spreadsheets, if at all.

Don
 
Quote from Don Bright:

Come on now, you can see wherein the problem lies. I'm not a fan of stop orders, but if you're going to allow this kind of thing to happen (I know you wouldn't), then you better use those mechanical stops, LOL.

July starts tomorrow, new system from NYSE starts tomorrow as well....let's see how we need to modify spreadsheets, if at all.

Don
More...

Haha, yeah i cleaned up my act with my traded stops :) The overall is with no stops, no filtering, and holding until market close no matter what. It gives me a sense of where the market is going and what is filling and what is not.
 
Quote from gehko:

Haha, yeah i cleaned up my act with my traded stops :) The overall is with no stops, no filtering, and holding until market close no matter what. It gives me a sense of where the market is going and what is filling and what is not.
More...

"Hold until market close"? Hmmm, not liking that idea...it does remind me of a group in our old San Francisco office that came in, bought everything on the opening, went surfing, came in and placed MOC orders. On days with big waves, they simply placed the MOC orders in the morning before they left. Actually worked for a while...LOL...until it didn't...they had to actually work.

When you get filled hoping to fade the opening direction fill.... probably good to get out early in the AM. IMO.

All the best,

Don
 
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