Opening Orders - 2008

Quote from VinMan:

I estimate that "really bad day" to be 20x my average day.

Think I'm overboard? It's just a number in my head I'm OK with losing if everything goes wrong a couple of times each year (or should I think more often?)
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I think you'r more likely to have one really bad trade than many bad trades on a bad day.
I once had a 2$ move on a 20$ stock before I could do anything, in 10-20 seconds (ACN). Well I could have cut it but I judged it would retrace. I think this is as bad as it can get. Assuming your flat on the others, it makes 2/0.05 = 40 times my average win. It did retrace a lot after but it still went that down. If your playing some high profile stocks maybe the worst case scenario is bigger.
But on average, being comfortable 20x your average daily profit makes it that in 20 days you'll recover. If it happen's only couple times a year it's ok.
I'm still on small size for that reason.

Back on friday
 
The "bad days" that I see generally occur when either stubborness or adding to a losing trade comes into play. Something opens up, gives a small loss....trader sells some more... finally has to throw in the towel...ore else they simply wait too long, losing objectivity to the overall market and the position.

Today, another small one +10 cents.


Don
 
So in order to find the expected opening is this what you do...

x = Futures price - fair value - close of the S&P cash at 4:00 EST

you take the close of the stock and multiple that by x to find the expected opening, and then you do you envelopes.

correct?
 
Do you guys have the number to multiply stocks by for getting fair value as -.010578418 today? We got that number by taking yesterdays s and p close; multiplying it by todays fair value of the S and P's; took the 9:15 time on the futures this morning and subtracted that from yesterdays number times todays FV number; than yesterdays close divided by the difference we had just calculated. Realize this sounds very confusing but hopefully its right. Im new at this and want to make sure I have my spread sheet plugged in correctly. Thanks guys; awesome thread! :-) We had a .33% fill rate this morning with a 1% envelope. our takes were .01; .06; .50; .80; .15; -.20; -10; .03; .15; .20; 1.0. Great morning with alot of this moving very much in our favor; hopefully this continues!

Jeff
 
Quote from jgltrader:

Do you guys have the number to multiply stocks by for getting fair value as -.010578418 today? We got that number by taking yesterdays s and p close; multiplying it by todays fair value of the S and P's; took the 9:15 time on the futures this morning and subtracted that from yesterdays number times todays FV number; than yesterdays close divided by the difference we had just calculated. Realize this sounds very confusing but hopefully its right. Im new at this and want to make sure I have my spread sheet plugged in correctly. Thanks guys; awesome thread! :-) We had a .33% fill rate this morning with a 1% envelope. our takes were .01; .06; .50; .80; .15; -.20; -10; .03; .15; .20; 1.0. Great morning with alot of this moving very much in our favor; hopefully this continues!

Jeff
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Gime your numbers (S&P fut @ 9:15 (march09), S&P previous close, FV used), I'll plug them in my spreadsheet and tell you.
In all cases I take my S&P value after 9:15, close to 9:25 or something.
 
4 fills, all longs, 4 wins +0.075 avg

re: losing trades
Sometimes there is not much one can do, and those trades/days can erase a great deal of winnings. Best reaction at least in hindsight would be to just get out.
E.g. this stock opens down away from its FV by 1.6%, no news anywhere. Ofc you get a fill long, and if you are layering you may have higher size in that position.
It opens at 35.98, and within few seconds prints down to 35 and stays there. Futs moving up, check news again, nothing, check your pricings, they were ok, you may add some more near the figure, expecting an up move. Nothing, next few prints and it's down 34.70's straight down line. Stock closes at it's LOD in the 32.60's never printing above 35.

Sometimes yes they do recover to even print you out with profits, but the ones that don't, would cause significant losses.
 
Quote from jgltrader:

Do you guys have the number to multiply stocks by for getting fair value as -.010578418 today? We got that number by taking yesterdays s and p close; multiplying it by todays fair value of the S and P's; took the 9:15 time on the futures this morning and subtracted that from yesterdays number times todays FV number; than yesterdays close divided by the difference we had just calculated. Realize this sounds very confusing but hopefully its right. Im new at this and want to make sure I have my spread sheet plugged in correctly. Thanks guys; awesome thread! :-) We had a .33% fill rate this morning with a 1% envelope. our takes were .01; .06; .50; .80; .15; -.20; -10; .03; .15; .20; 1.0. Great morning with alot of this moving very much in our favor; hopefully this continues!

Jeff
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Here, this may help you.

(oops, sorry that attachment didn't seem to work correctly).

SPX - FV (-.80 from http://www.stocktrading.com/Tradinginfo.htm) .... = X. Futures value - X = a number which is then divided by SPX to see what percentage we were opening up or down (down today).

Apply that percentage to all your stocks to determine where they "should" open). Envelope from there based on distance from actual previous day's closing price.

I'll try to get the spreadsheet to post up correctly, sorry.


Don
 
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