Hello, I would like to send a buy and sell order 1 point above and below the Open Price of the regular trading session for NQ Futures using TWSDDE.XLS. Since the NQ trades continuously from the pre-market session, I cannot capture the Open Price without using the Historical Data download after the first minute. I currently use the feed from the Tickers worksheet and use VBA to store the price at 9:30am before adding 1 point to that price and sending the orders from the Basic Orders worksheet. The price captured at 9:30am rarely matches the actual open print due to latency and other factors. Does anyone have experience capturing Open prices in continuous markets in realtime? Thanks for your help.
TWSDDE.XLS: Regular Trading Hours Open Price for NQ
- Thread starter steve.k.tang
- Start date
Of course your strategy may require the absolute opening TACO*, but it might not also.
Here are a series of videos. Don't miss the upper left list in the page:
https://www.cmegroup.com/education/courses/trading-at-a-basis-to-an-index-btic-taco.html
Also consider why you want the 9:30 AM price, TACO, on a Globex instrument? Sure it the first print on the RTH, but it NOT gospel for a day trader At 8:30 the bond market opens. Notice the spike in volume from nothing to something "alive". Ditto for the Europe and Asia openings.
I use the average price between 8:30, 9:00 and 9:28 as the "open" price for trading. Likewise I use the previous close and some non US opening times overnight plus the "open" to measure the "gap" to the RTH open.
You can look at the CME link about the TACO. Sure you can get it, but this is case of assuming accuracy will somehow give you a better trading result, when in actuality, it could be a failure to see the forest while looking at a one big tree, at least for a day trader.
*https://www.cmegroup.com/trading/equity-index/trade-at-cash-open.html
Best of luck.
Here are a series of videos. Don't miss the upper left list in the page:
https://www.cmegroup.com/education/courses/trading-at-a-basis-to-an-index-btic-taco.html
Also consider why you want the 9:30 AM price, TACO, on a Globex instrument? Sure it the first print on the RTH, but it NOT gospel for a day trader At 8:30 the bond market opens. Notice the spike in volume from nothing to something "alive". Ditto for the Europe and Asia openings.
I use the average price between 8:30, 9:00 and 9:28 as the "open" price for trading. Likewise I use the previous close and some non US opening times overnight plus the "open" to measure the "gap" to the RTH open.
You can look at the CME link about the TACO. Sure you can get it, but this is case of assuming accuracy will somehow give you a better trading result, when in actuality, it could be a failure to see the forest while looking at a one big tree, at least for a day trader.
*https://www.cmegroup.com/trading/equity-index/trade-at-cash-open.html
Best of luck.