Discussion in 'Order Execution' started by heilbronner, Sep 11, 2003.
This would be the third day in a row that the opening gap wouldn't be filled in NQ.
Might have something to do with 24 hr. trading in futures...?
I take the open of NDX as a reference.
The probabilities certainly aren't what they used to be. Perhaps a result of range contraction.
today is a very good chance 80%
80% that it is filled or not filled???Ã
OK, market just gave the answer. Do you have a study about this stuff? How do you calculate that 80%?
I use 70% of yesterday's volume,
If market opens inside that range GAPs are filled with 80% chance and if market opens outside the range NO edge 50/50 chance.
I did my own study based on 9 months of data and on low volume days unusual things happen more often (for instance last December) was very difficult to play gaps.
When you say 70% of yesterday's volume, does that mean the price range that encompassed 70% of volume? Is this a Market Profile concept?
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