Gap/OPG Strategy

Discussion in 'Order Execution' started by wvalenta, Oct 4, 2010.

  1. 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. you never know what price you are going to be filled at on an opg order because it all depends on where the stock opens and also on what rout it opens on.To better your chances of getting filled at all you should sent your opg order on multiple routes.
  3. dloyer


    For nasdaq symbols, the opening and closing trades published as the daily open and close prices are not generated by normal trading, but by a crossing trade.

    The cross picks one price to trade as many shares as possible.

    The cross is a good time to trade:
    * Easy to get historical information
    * No spread!
    * Enough volume to handle a modest order without moving the price much.

    To be included in the opening cross, either issue a opening order, if your broker supports it, or just issue a market or limit day order.

    Be sure to issue your order before the cut off.

    One thing you cant do, is peak at the opening print, then decide if you want to trade or not. You have to put your order in well before the print.

    Nasdaq releases forcast opening prices a few minutes before the open, but most retail brokers do not subscribe to this feed.
  4. lindq


    Much will depend on how profitable your backtest is, knowing that you're not likely to nail every open.

    If your profits in backtesting are very thin, then an opening strategy isn't likely to pay off for you.

    One thing you might want to try is backtesting a move away from the open. For example, possibly waiting until price is X% above or below the opening gap. If that works for you in backtesting, you can wait for the opening gap then set a limit to capture your target price.
  5. wvalenta


    So if is send a NYSE OPG order I have a chance of not getting filled? Can I send an order that will ensure that i get filled at whatever the opening price may be? Thx for the help
  6. wvalenta


    Thanks so much for the explanation!!!! So is there any chance that I would not get filled if i send my order. I mean this is the only thing that im really worried about?
  7. wvalenta


    Also, excuse my ignorance but if I send a OPG order and I wish to go short, I would be filled at the asking price right? Likewise if i wish to go low I would be filled at the bid? Thanks so much for the help
  8. dloyer


    In the opening and closing cross, all shares trade at the same price, in one print. There is no bid/ask.

    The crossing price is chosen to trade the most shares. It is possible to not be included in the cross, but not likely if you issue a market order and issue your order early.

    I have never had a morning cross order not fill.
  9. wvalenta


    Great thanks again!:D
  10. wvalenta


    Hey do you know anything about NYSE, how would get filled if i was short, at the ask?, or at the bid, and would i be guaranteed getting filled, does it depend on the order? Would i have any troubles getting filled?
    #10     Oct 11, 2010