The RTH Opening Price

[ljyoung]

If regular trading hours (RTH) for US equities begin at 9:30:00 ET, then the Open price of the first 4 bar tic (or OHLC stick) for RTH MUST occur after 9:30:00? True or not true?

FWIW, I believe that this statement has to be true. No price prior to 9:30:00 should be present in that first candle or OHLC stick, i.e., ALL candle or OHLC stick charts whether they are tic or interval charts MUST use data which starts after 9:30:00.

If someone thinks this statement is wrong please destroy it but only if you can explain why it is wrong.

TIA

lj

 

[speculatus]

Not quite right.

A specialist usually delays openings for assigned symbols from seconds up to several minutes, and the very first print disseminated from NYSE will be at the open price (or O of the very first OHLC candle if you wish). I cannot recall any NYSE stock that opens exactly at the bell (I'm pretty sure the same opening rules apply for AMEX).

But other market centers (all ECNs, NASDAQ, CINN, and so on) have different rules, and you'll see prints coming from pre-opening and opening sessions WAY before 9:30:00am.

 

[ljyoung]

Quote from speculatus:

Not quite right.

A specialist usually delays openings for assigned symbols from seconds up to several minutes, and the very first print disseminated from NYSE will be at the open price (or O of the very first OHLC candle if you wish). I cannot recall any NYSE stock that opens exactly at the bell (I'm pretty sure the same opening rules apply for AMEX).

But other market centers (all ECNs, NASDAQ, CINN, and so on) have different rules, and you'll see prints coming from pre-opening and opening sessions WAY before 9:30:00am.

Muchas gracias speculatus.

Now let us push on. Do you know if, for an NYSE-listed (or AMEX-listed) stock, that very first print is the Official Opening Price (OOP)for that stock for that day? In other words when you look at the daily OHLC for that NYSE-listed stock, is the O of the first 4 bar tic the same as the "O" which is quoted in the daily OHLC?

I agree completely that there are many stocks which don't open exactly at the bell. I play big beta equities and that is certainly the case for NYSE stocks like GS. The other market centers indeed have all sorts of stuff prior to the bell and after the bell as well. I trade GOOG frequently and what I have observed many times is that when the Official Opening Price for GOOG is printed (frequently this is the same as the NOOP) any tic data before 9:30:00 or after 9:30:00 but before the OOP, is NOT found in the first 4 bar candle for that day.

So the end result is that the OOP, at least for the three major exchanges is the same as the "O" of the first 4 bar candle for that day.

If you agree with what I have said so far then let me get to the point of this exercise. If the charting software that one uses doesn't set the "O" of the first 4 bar candle of the day = the OOP but rather picks the first tic after the bell or even the last tic of the premarket (both of which I've seen for GOOG using eSignal or DTNIQFeed + QT [Quotetracker]) then the candle conformation of EVERY SINGLE candle which follows is incorrect because the wrong "O" has been selected by the software.

As we both know the playing field is not tilted in favor of the small retail trader but this sort of thing makes it essentially impossible to trade using candles (or OHLC sticks) because what the little player is looking at is not what the major players are looking at.

I you are at all interested I have charts and T&S data which illustrate the points I have been making. The response from the exchanges and software vendors when I try and discuss this problem is singularly underwhelming.

Are you aware of any software package which "sets the open correctly" by default or by giving the user the option to do so? eSignal and QT software do not have this capability.

lj

 

[RL8093]

Quote from ljyoung:

Are you aware of any software package which "sets the open correctly" by default or by giving the user the option to do so? eSignal and QT software do not have this capability.

Not that I really want to defend eSig but there are 2 options to pursue afaik:
- report the incorrect price as a bad tick
- use the bar editor to modify the candle yourself.

On NYSE stocks, I frequently see the open price caused by one out-of-range tick that will give the daily candle a very different appearance (& technical signal) than if it were recorded accurately. Since it is only NYSE stocks 98% of the time, I'm assuming the issue is with the NYSE 'human element' and not w/ eSig - but this assumption could be wrong .....

R

 

[speculatus]

Quote from ljyoung:

Muchas gracias speculatus.

Now let us push on. Do you know if, for an NYSE-listed (or AMEX-listed) stock, that very first print is the Official Opening Price (OOP)for that stock for that day? In other words when you look at the daily OHLC for that NYSE-listed stock, is the O of the first 4 bar tic the same as the "O" which is quoted in the daily OHLC?

I agree completely that there are many stocks which don't open exactly at the bell. I play big beta equities and that is certainly the case for NYSE stocks like GS. The other market centers indeed have all sorts of stuff prior to the bell and after the bell as well. I trade GOOG frequently and what I have observed many times is that when the Official Opening Price for GOOG is printed (frequently this is the same as the NOOP) any tic data before 9:30:00 or after 9:30:00 but before the OOP, is NOT found in the first 4 bar candle for that day.

So the end result is that the OOP, at least for the three major exchanges is the same as the "O" of the first 4 bar candle for that day.

If you agree with what I have said so far then let me get to the point of this exercise. If the charting software that one uses doesn't set the "O" of the first 4 bar candle of the day = the OOP but rather picks the first tic after the bell or even the last tic of the premarket (both of which I've seen for GOOG using eSignal or DTNIQFeed + QT [Quotetracker]) then the candle conformation of EVERY SINGLE candle which follows is incorrect because the wrong "O" has been selected by the software.

As we both know the playing field is not tilted in favor of the small retail trader but this sort of thing makes it essentially impossible to trade using candles (or OHLC sticks) because what the little player is looking at is not what the major players are looking at.

I you are at all interested I have charts and T&S data which illustrate the points I have been making. The response from the exchanges and software vendors when I try and discuss this problem is singularly underwhelming.

Are you aware of any software package which "sets the open correctly" by default or by giving the user the option to do so? eSignal and QT software do not have this capability.

lj

1. AFAIK, the very first print on NYSE is the opening price. There might be bid/offer quotes or imbalance indications prior the first print.

2. I don't use charts when I'm trading, so I'm not a big expert of them, but I can easily imagine that candle's OHL can be based on opening session and the C would be the opening price from NYSE (since charts are based on consolidated tape from all exchanges you are subscribed to). So I'd agree with you 100% on this.

3. In order to catch O from NYSE you have to align that candle with the opening, and I'm pretty sure this is something that no one charting software does.

4. About the data feed. I've found out that the data feed from almost all retail brokerage houses sucks. They claim they've got real-time tick-by-tick data. When I compare their feed with the feed from ACTIV Financial (that's what I'm using), I see all (or almost all) trades, but I miss a lot of quote updates. It doesn't make much difference for charts since they are solely based on trades, but when you do tape reading, every tick matters.

 

[ljyoung]

Quote from RL8093:

Not that I really want to defend eSig but there are 2 options to pursue afaik:
- report the incorrect price as a bad tick
- use the bar editor to modify the candle yourself.

On NYSE stocks, I frequently see the open price caused by one out-of-range tick that will give the daily candle a very different appearance (& technical signal) than if it were recorded accurately. Since it is only NYSE stocks 98% of the time, I'm assuming the issue is with the NYSE 'human element' and not w/ eSig - but this assumption could be wrong .....

R

Hey RL,

Thanks for your input. I am aware of the eSignal protocols but the problem is that the "incorrect price" thing is too slow and as well, the "incorrect open tic" isn't a bad tic just a useless one for the purposes I've described above. The bar editor modifies only one bar and not the the ensuing bars that are changed because of the modification.

You are dead right though that the technical signals will be all screwed up because of the faulty open.

I don't think this is a human error problem.

Thanks again for your thoughts.

lj

 

[ljyoung]

Quote from speculatus:

1. AFAIK, the very first print on NYSE is the opening price. There might be bid/offer quotes or imbalance indications prior the first print.

2. I don't use charts when I'm trading, so I'm not a big expert of them, but I can easily imagine that candle's OHL can be based on opening session and the C would be the opening price from NYSE (since charts are based on consolidated tape from all exchanges you are subscribed to). So I'd agree with you 100% on this.

3. In order to catch O from NYSE you have to align that candle with the opening, and I'm pretty sure this is something that no one charting software does.

4. About the data feed. I've found out that the data feed from almost all retail brokerage houses sucks. They claim they've got real-time tick-by-tick data. When I compare their feed with the feed from ACTIV Financial (that's what I'm using), I see all (or almost all) trades, but I miss a lot of quote updates. It doesn't make much difference for charts since they are solely based on trades, but when you do tape reading, every tick matters.

We are on the same wavelength with this stuff, speculatus. Let me check out ACTIV Financial. FWIW the data feeds for eSignal and DTNIQFeed are exactly the same BUT incomplete when compared to a NASDAQ/INET T&S which although it only gives NASDAQ-associated tics, clearly shows that trades are being missed by the other two feeds. In fairness to DTNIQFeed, they are aware of this shortcoming and are working on it. I haven't spoken with eSignal about the missed trades.

Thanks again for your input.

lj