This was the first print >= 09:30:00, occurred on an ECN, and is apparently what a lot of quote vendors are using nowdays for "the open". FWIW, my consolidated tape (from Track Data) shows that this trade was subsequently cancelled. The trade immediately after it was 2000@52.70, which appears to be what several other quote sites that I checked are showing. Generally, the opening print will be very big in most liquid NYSE stocks - at least 100K shares. If your tape doesn't show you the exchange, that's the easiest way to find it. Track's tape does show all the indicators, so I can see that the first NYSE trade was 1473000 shares at 53.25 at 09:45 (I don't have the seconds for tapes from before today). I started to write that for most purposes, it doesn't really matter whether it's the price at 09:30 or the NYSE opening, but even that's not true. For stocks that aren't really unusually delayed, and are not trading much pre-market, the first tick after 09:30 could be anything. It could be 10% or more off the "real" market depending on the bust rules of the ECN it occurred on, how convincing the guy on the wrong end of the trade was, the phase of the moon, etc. Case in point: AWE NYSE open was 1036000 shares @ 9.53 at 09:36, yet everyone is reporting the open as 9.60, which was a 100 share ECN trade at 09:32. Another one: TYC NYSE was 34.40. Open is reported as 34.89. Certainly, for the purposes of this thread, the NYSE open is an important piece of information. I was planning on doing some back testing on OO orders this weekend, but without the ability to easily get the opening prints for a large number of stocks, it's going to be tough. Having to hunt through the tapes is going to suck, and I only have 5 days history available on those anyway. Can anyone find a site that gives the correct NYSE open price (e.g. 53.25 for MER on 2002-03-07)? I've tried pcquote, phlx.com, amex.com, pacificex.com, bigcharts, cnet, multex, cbs.marketwatch.com, pfquotes.netscape.com, abcnews, esignal. csfbdirect. (hours later...) Hey - I found one that's right: http://www.tdwaterhouse.com/quotes/index.html It says the quotes come from Reuters. If you go to reuters.com, you can also get the correct opening price as long as you choose NYSE from the list of exchanges at the right instead of the default "all". Also, Track Data's (myTrack) AIQ intra-day charts are right, but not the historical charts. If you set it for 30 minute bars, you can get 30 days of history. So, now the question for someone to research is: What other quote vendors use Reuters (correctly, specifying NYSE only), and can we get historical data from them in machine-readable format?
We filter out the ECN's and that we get only the NYSE opening price. Since software and data vendors use multiple sources for their info, you may get differering prices. On Redi and First Alert, we simply filter for NYSE only for opening price. When you are trading the opening, you will know when the stock opens in NY, and you will know if you are filled (except for that really rare occasion that the stock opens at exactly your price).
Do you handle a day like today (sp + 10 pts) in a normal fashion in terms of the buy orders? Possibly expand the envelope a little so you aren't buying too many names that are opening higher?
Iexpanded my envelope to 1 %, and (also) lowered my broker buy orders a bit due to some downgrades (with a high opening, they will probably fare ok anyway). Here we go...
I thought I would post my "mistake" today. I cancelled LEH as I said, but after it opened, I sold short at 63.85 (2000), went to buy it back at 63.70, but accidently bought 4000 shares (net long 2000)....immediately went to sell the stock back at 63.84 ....and they gave me 64.25 on price improvement...40 cent price improvement ...."sometimes I would rather be lucky than good"...
Damn Today was better than yesterday. Futures were up over 10 points before opening so I widened my sell envelope. It turns out I was filled a ton on the long side (lot of stocks gapped down than went straight up. Made over a point today Robert
Ended the week nicely positive on OO trades. Trading very small right now but will probably inccrease size in a couple of days. (just gotta get equity above where I started today.) now the bad news....... down 52 cents net today, 3 fills, 2 wins 1 loss. Played SGP which was an error in judgment. I knew it was getting crushed premarket, and saw a large offer at 35.00 at 9:15. I figured it was getting SO crushed that it was worth playing, and left the buy order in. Damn if the specialist doesn't open the stock at 35.75. (Think he took the stock offered at 35 a few minutes earlier?) Pretty much went straight down from there, I quit waiting for a bounce and got out at 35 for a 77 cent net loss. Ow. At least it kept going down. Hey Robert- how many stocks do you place orders on? With the wider envelope do you have very many no fill days?
I'd say about once every 2 weeks I have a day with no fills. When I am filled you really want the trade though--- as the wider the envelope the higher the probability of the trade. Since I use a higher probability envelope and will naturally recieve less frequent fills on stocks I have to keep my eye on more. I also throw away a stock that has news for the day of any significance so that arbitrage will play out and not the news. I'm usually watching about 40 -50 stocks. Robert Tharp