Late Night Trading?

Discussion in 'Trading' started by dkamp, Aug 21, 2001.

  1. dozu888


    Thanks dkamp for the good info. Nice to know the spreads are comparable to NQ.

    another thing to watch for is the lunch time break.. (being on the East Coast, will probably only trade the morning session anyway.

    How big is the gap when afternoon opens?
    Do you hold through the lunch or close position?

    Will observe a little also.

    #21     Aug 26, 2001
  2. dkamp

    dkamp Guest

    Hi dozu,

    It looks like they have a "pre-market opening" scheme to get the opening price in line during the half hour before the market opens in the morning, and again before it reopens in the afternoon. This works by tying existing limit orders (which can be entered, changed, and cancelled during this period), to a "Calculated Opening Price" (COP) that is continually updated and displayed during this period. You can also enter "auction" orders during this time which are a request to fill at the COP. There is more info about this on the hkex web site.

    So I guess this scheme takes some pressure off gapping/spiking after the open, which makes the open more tradeable, but would still leave it risky to hold positions across the lunch hour (since you can't actually trade during the pre-market).

    Perhaps def can answer some related questions:

    - Does IB use the exchange's OAPI to directly route our orders to the exchanges (i.e., w/o human intervention)?

    - Can we place limit orders during the pre-market period? Can we place auction orders during the pre-market? What happens if a "market" order is placed either during the pre-market or after the open? (I'm thinking here of the nice IB feature of converting market orders to limit orders with adequate price offset when exchanges don't support market orders - what's the deal in this case with HSI futures?)

    - Is the COP displayed somewhere in TWS during the pre-market period?

    - Reality check: When you mentioned not trading on the expiring day of the expiration month, is this the day they are listing as the "last trading day/expiry day", namely September 27, 2001 for the September contract?


    #22     Aug 26, 2001
  3. def

    def Sponsor

    #23     Aug 26, 2001
  4. dkamp

    dkamp Guest

    Def wrote,

    "I'm almost insulted by the question. We would not offer a service with human intervention in an electronic market place."

    Sorry. I got led into that by the HKFE's description of their new (1999) HKATS system: "The broker's HKATS operator will place the client's order in the system through an HKATS terminal in the broker's office." Obviously, this must be referring to stone age practices still common at the end of the 20th century.
    #24     Aug 26, 2001
  5. def

    def Sponsor

    i should have put a smile after that comment - I was kidding. You are correct to ask. Most brokers still manually input the trades via HKATS. We have one in our office but to be honest when we need to do a manual trade for our prop side (every now and then we decide to hedge manually) we use the TWS as I find it much faster to place an order.
    #25     Aug 26, 2001
  6. dozu888


    dkamp, did you find out if the most recent prostick is updated in realtime?

    #26     Dec 20, 2001
  7. dkamp

    dkamp Guest

    Hi dozu,
    The sticks were candlesticks (not their special ones), were limited to 5-minute bars (i.e., nothing smaller), and were updated in real time (although that may have been once per minute - I don't remember whether they were the ones with that updating limit or some competing site). I never found a charting source that had 1-minute bars with second-by-second updating, so I moved on to other late-night stuff until someone comes up with something better. Perhaps Def has run into something since then.
    #27     Dec 20, 2001
  8. dozu888


    Thanks, sounds good and I will confirm with prosticks.
    #28     Dec 20, 2001
  9. def

    def Sponsor

    i haven't spoken to them and since I don't trade with any technical analysis packages haven't looked into the matter. I know a few clients trading via IB out here and I'll try to find out if they know anything more.
    #29     Dec 20, 2001
  10. dkamp

    dkamp Guest

    One of the cute things I found was a site that claimed to update their quotes in real time, but what they did was to have a scrolling tape that looped around exactly once per minute, giving you the illusion of second-by-second updates, but only really providing new info once every minute. :) It made me wonder whether there is a low-cost Reuters feed from out there that only updates once per minute, and which the less expensive sites are trying to make appear as if it is real-time streaming, with the tape trick or the 5-minute bar restrictions...
    #30     Dec 20, 2001