Gap/OPG Strategy

Discussion in 'Trading' started by wvalenta, Oct 4, 2010.

  1. wvalenta

    wvalenta

    I have back tested a strategy that appears to be rather promising. My back testing parameters require that I buy or short at the opening price and vice versa at the close. My general problem is identifying the gap in pre-market and then and ensuring that I get the correct opening price at the open. I could send market on open orders or limit orders but the problem is that the price could change if is send it via NASDAQ and the order has been processed. So how would i ensure that I get the correct opening price as indicated in my back testing? I'm new at this and I would appreciate any help I can get?
     
  2. For starters, do not, under any circumstances, use market orders on the open. You're asking for slippage, frustration and disappointment. :cool:
     
  3. wvalenta

    wvalenta

    So what can i do?:confused:, i mean, my other alternative is wait for the market to open at 9:30 then at precisely 9:31 get into my stock and appropriate hedges, but the issue is that i lose on the spread? What options do I have left. Could I use derivatives, ie options to get in? Thanks for the post!!!
     
  4. wvalenta

    wvalenta

    Thanks for the reply! So what can I do. Should I use options or executed my orders immediately after the market opens, ie 9:31. I would be facing a loss though from the get go. In contrast, would i be able to use options? Thanks for the help
     
  5. Bob111

    Bob111

    to make it short-forget it. anything based on open price will appear fantastic on backtests..specially gaps..specially small ones..but in reality this strategy will be pretty much useless. and yes-if you try market order-you will be raped. literally. specially on nasdaq. and if you try to use limit-there is always will be somebody 0.001 ahead of you. and if you look closer into open price-you will find that many times open price have absolutely nothing to do with current bid\ask @ 9:29:59

    i use to trade system,where short @ open is is involved,if open ># points ..after a year of trying- i give up on this idea..win to loss ratio on paper was about 75% with average PnL per trade >2%. in reality i come up with big f * n zero.
     
  6. luisHK

    luisHK

    Could you elaborate why a market order on QQQQ would bring so much surprise with the large volume involved ? Okay possibly after the open price is known ?
     
  7. Bob111

    Bob111

    i'm talking about stocks with 2M-100K avg.vol..dunno about QQQQ,but many times i saw that pretty liquid IWM stock "official" open price was pretty far from bid\ask @ 9:29:59
     
  8. luisHK

    luisHK

    I said QQQQ because you mentioned Nasdaq, but IWM was actually also on my mind. Once the open price is out, with the volume what would be the issue with a market order ? I understand things might be quite different with less liquid stocks. Will take a closer look at those price differences just before opening time btw, thanks for stressing them.
     
  9. Bob111

    Bob111

  10. charts

    charts

    Once you know the market open (e.g. 30 sec or 1 min after) place a limit order at that price. Almost always sooner or later, that day that price will be available again .. :)
     
    #10     Oct 4, 2010