Can I beat open price?

Discussion in 'Automated Trading' started by gpluto, Dec 13, 2005.

  1. gpluto


    I'm a newbie program trader, now I'm developping a automated trading system for a hedge fund.
    We long and short hundreds of stocks everyday. As our benchmark is open price, we trade as soon as possible, we trade more than 50% in the first 5 minutes, and 80% in the first 15 minutes. Although we got an annual return 13%,the results show that our trading price is worse than open price 8bp in average(both long and short).
    My question is:

    1. Can I approach(even beat) open without doing prediction?How to do it?

    2. If it need predict, how to begin to approach open? Predict market direction or predict stock direction? Using technical analysis or news?

  2. Hi,

    1. Yes, for long entries only on the NYSE , submit OPG orders. For the rest of the scenarios i.e. shorts and NASDAQ orders, it's all about timing and 'good luck'.

    2. The crusaders were also looking for the holy grail. Alternatively, you may want to consider changing your entry criteria (benchmark) instead. In your case I would use the average price of the O/H/L of the 1st(or 5 or 15) minute bar, for a more realistic entry scenario and closer to your actual execution. No guessing required.

    Happy trading