The Opening Orders Thread

Quote from webbma:

i'm using 15 stocks in my test. Yesterday (big rally pre-open) i got 9 fills on the buyside. Today (decent sell off pre-open) i got 8 fills on sell side. Both days were profitable. I was using a .20% envelope only (both sides). Do you guys adjust or not send one of the sides on days when there are big moves? Specifically do you cancel buyside on a big up day and sell side on a big down day?
More...

i adjust for s&p fair value...so i am always +/- .75% from last night's close....on a big move day say to the down side...my sells would be few and far between...if the market moves enough i will have days where my system will only place orders one way...

i never buy above or sell below last night's close...
 
i adjust for f/v as well. but i haven't blocked out buying above or selling below the close, that's the part i'm trying to figure out. It's worked the last two days but not sure if that is luck or a trend!
 
1 long win, +273, 2000 shares.

My order spreadsheet adjusts to make sure I don't buy an up open or sell a down open on a stock. Although if you look at the open as strictly an arb play, there may be nothing wrong with doing that. Since the specialist can't buy an up open, if you do you won't be "trading with the specialist", but whether that's a significant edge anymore can be debated.

I will sometimes tighten envelopes on one side to try to get extra fills if the gap is going to be big. Usually in those cases I will only put orders in on one side, since I expect to be busier and don't want to have to nurse a long position in a gap up open.

It all comes down to what you are comfortable with. Most of the time I try to stay consistent and not tweak anything.
 
Quote from webbma:

i adjust for f/v as well. but i haven't blocked out buying above or selling below the close, that's the part i'm trying to figure out. It's worked the last two days but not sure if that is luck or a trend!
More...

Big up days, sells only. Big down days, buy only. And as Chiguy says, "never buy above or sell below previous day's closing price."

Always adjust for fair value, that is a given.

Don
 
2 long losers, -479.50, 3000 shares.

Just one of those days, I guess.

Steelers try to regain their dignity against a tough Jacksonville club on Sunday. This game could make or break the season...
 
Quote from Don Bright:

Big up days, sells only. Big down days, buy only. And as Chiguy says, "never buy above or sell below previous day's closing price."

Always adjust for fair value, that is a given.

Don
More...

Hey Don,

I plan to start trading opening orders next week, but would just want to make sure I am doing the calculations right.
If futures indicate that they are going to open -.6% from yesterday's close and I am trading a stock which closed the previous day at $50, do I enter an opening buy order at $49.70 ($50 - .6%) less maybe .20 (adjustment for slingshot) to come up with a limit opening buy order at $49.50?
Pls. advise if I am doing this correctly and thanks very much in advance for your help and contributions to this thread.
 
You must log in or register to reply here.
Back
Top