Trading the Open -- are there tools or resources specifically for that?

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d0rian

Posted this in trading software forum, but didn't realize how low-traffic that forum is compared to here...I'm looking for any online tools or resources that were perhaps created or optimized for the chaotic window leading up to the 9:30 open. I know that's a broad Q, but I'm not even sure what's out there. One thing that would be beneficial: zeroing in on where the first trade(s) are going to come in as the minutes/seconds tick down to 9:30:00. I can monitor the pre-market trades and the L2 windows, obviously, but:
  1. There's often no premarket trades that go through even when there's an expected gap up/down (e.g. on less liquid tickers)
  2. I'm unclear on how much stock to put in premarket bids/offers, since from what I gather there's a fair amount of cat-and-mouse chicanery with premarket quotes (I suppose trying to manipulate others into a false sense of what the open will be?)
So just trying to get more scientific about pinning down the open. But really ANY tools to help in that narrow window leading up to 9:30 would be helpful, thanks.
 
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I'll try the revolver and report back.

I guess from these replies there aren't many tools or services optimized specifically for the open...? I'm willing to self-educate if anyone wants to point me in the right direction re: articles, services, etc.
As mentioned in the OP, what I'd really like to prioritize is learning to hone in on where a stock will open given all the premarket action (both executed pre-open trades, but also the shotgunning of bids/offers in the minutes leading up to 9:30:00). I.e. getting better at seeing through the noise and gamesmanship to narrow the range of likely opening prices. I'm sure this is more art than science, but still think it's an area where any incremental improvement is worthwhile.
 
d0rian said:
...but still think it's an area where any incremental improvement is worthwhile.
More...

No, there's seriously not.

What you're seeking (an empirically-demonstrable trigger with signal>noise) is dependent on having a stable data set -- which comes from a stable phenomena. This is not possible in finance/economics, because nearly all data stem from a time-dependent set of events. Though we have the *computational*tools*, we just don't have the data. This is the "quant's" version of Technical Analysis -- where, just because you can draw a trend line, or a pitch fork, or can impose a 'wave'.... the market from which your data stem could not care less.

Predicting the open? You've got exogenous news events, endogenous changes of actors, and sequentially-dependent changes of agenda amongst those actors -- you've got not only a re-shuffle of the cards (which negates all previous data), but hell -- you've got a new deck (Tarot!), and a new game (Backgammon!), and a subway car just stopped, and here's the new players......
 
tommcginnis said:
No, there's seriously not.

What you're seeking (an empirically-demonstrable trigger with signal>noise) is dependent on having a stable data set -- which comes from a stable phenomena. This is not possible in finance/economics, because nearly all data stem from a time-dependent set of events. Though we have the *computational*tools*, we just don't have the data. This is the "quant's" version of Technical Analysis -- where, just because you can draw a trend line, or a pitch fork, or can impose a 'wave'.... the market from which your data stem could not care less.

Predicting the open? You've got exogenous news events, endogenous changes of actors, and sequentially-dependent changes of agenda amongst those actors -- you've got not only a re-shuffle of the cards (which negates all previous data), but hell -- you've got a new deck (Tarot!), and a new game (Backgammon!), and a subway car just stopped, and here's the new players......
More...

Yes, I understand that the pre-open is incredibly noisy, and that trying to discern a reliable signal in the noise may be chasing ghosts -- not quite ready to dismiss it as entirely useless, though. There are still data points that range from quite reliable, to nearly meaningless, e.g
- High-volume of executed trades within a narrow range at 9:29:30 I think is a pretty reliable tell;
- No executed trades, but bids/offers coalescing around, say, $10.00 and $10.02 with minutes to go before the bell is a pretty good clue as well.
- A handful of bids with no posted offer 30 minutes before open anyone would dismiss of course as junk.

I know you know all of this -- just trying to underscore that I'm under no illusions that there's a crystal ball to be found; just hoping for a primer, perhaps, on typical pre-market activity or maybe known false signal strategies that algos fire off into the premarket book. If you're saying that there's still exponentially too much noise to ever hope to make heads or tails of where an open may land, fair enough.
 
d0rian said:
Posted this in trading software forum, but didn't realize how low-traffic that forum is compared to here...I'm looking for any online tools or resources that were perhaps created or optimized for the chaotic window leading up to the 9:30 open. I know that's a broad Q, but I'm not even sure what's out there. One thing that would be beneficial: zeroing in on where the first trade(s) are going to come in as the minutes/seconds tick down to 9:30:00. I can monitor the pre-market trades and the L2 windows, obviously, but:
  1. There's often no premarket trades that go through even when there's an expected gap up/down (e.g. on less liquid tickers)
  2. I'm unclear on how much stock to put in premarket bids/offers, since from what I gather there's a fair amount of cat-and-mouse chicanery with premarket quotes (I suppose trying to manipulate others into a false sense of what the open will be?)
So just trying to get more scientific about pinning down the open. But really ANY tools to help in that narrow window leading up to 9:30 would be helpful, thanks.
More...
Bookmap is good tool I use. clear and easier to interpret in fast environment from other tools. display visually the price action and were big hands stacking
 
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