rmorse, The model is actually selling on today's close or the _next_day_open. Same for buying on close or the next day open. It's cutting the trade a tad shorter than it would otherwise be. I would've thought waiting til the next morning to sell would help (benefit from reversion trend). So for example, if I get a signal this afternoon - I could either buy at close today or open tomorrow morning. Buying at open tomorrow seems to work better. My initial random thought is it's taking advantage of current dip/downtrend I'm targetted. (For example, TEF was a signal from yesterday to see what the model is selecting - it's finding mean reversion opportunities of stocks still below short term ma). Similarly, when I get the sell signal in say 3 days, I could either sell at close in 3 days, or sell on open the next morning of 4th day. In that case, though, selling on close seems to work better. I'll have to think about why - and it could just be due to peculiarities of the model - but it's not obvious to me why this should be the case. I was pretty surprised when I saw the consistency of the results. I'm thinking about why it would make that much difference over lots of trades, but seems like it does. Also, not sure if benefit comes mostly from the buy part of activity or the sell - have to investigate that. All buy/sell at open/close combinations work, but some consistently better than others. I have to examine more to understand.
It has been my experience that most of the time opening orders are fine and have the added side benefit of taking out HFT games from the equation. Anything that I can do to avoid the HFT scum is a benefit in my book. I find the market to be totally ridiculous and illiquid today. You'll supposedly have a 500,000 average volume stock with a $1 spread with HFTs on both sides dicking with you. The opening and closing orders are one way to avoid this crap. There is usually some decent amount of volume participating on these transactions presumably because it is the only time of day where you don't have to deal with the bots.
my MOO and MOC fills are fine at IB. When I compare with my data vendor OHLC it compares well. Correct me if I am wrong but don't all queued Market orders before the open receive the same price (the opening cross)?
If I had to choose to take open or closing price for trade entry and exit, I would choose the close, thinking it would reflect the overall market better, not the emotional flush I observe at the market open.
Hi all, I'm the OP. Just a followup on this. My experience so far trading on the open with IB was acceptable, although I didn't always get the stated opening price - maybe a few pennies higher on a couple trades. (I'd select to trade Mkt on OPG in their dropdown and direct to NYSE if applicable). Most of my trades, however, did get market open pricing, and from what I can tell so far (it's only been a few weeks) I haven't noticed any "oddness" w/ open price other than it can be volatile - sometimes to my benefit, sometimes not. I am only trading small lots of larger liquid companies though. So far so good. I'm buying open, and generally selling intraday in the afternoon near the close on the days that I get a sell signal. This works pretty well for updating my buy orders each night to put on new positions. I need to smooth out my process for selling though as it can consume quite a bit of time if I watch too much.
I don't think it is gamed. The only explanation would be that there are the big guys betting against you. I also trade when there is strong signal considering 20k per trade size. I ain't here to lose money.
%% Good points generally speaking. I like markets liquid enough to use market orders if i have to, but prefer limit orders. Myself, usually prefer last hour, in this post- that is not an exact number-its a guideline.
He obviously is looking at the consolidated first print. NYSE opening auctions take place from 9:30 to sometimes up to 9:45. First print can be at 9:30:00 at any ECN for just 100 shares. It has little to do with the NYSE auction opening.