Opening Only's 2010

I was about even Long/Shorts. For today I had FV at +0.344%.

When I say that I am speaking about how many longs fills Vs. how many shorts fills. Again this account is only trading 100 shares single layer per position. It is fully automated in entry and exit.

If one wants to figure out what the cent per share gain is the full PL is posted and could be calculated. (+0.056 per share or 11.31 per position)

 

Don and others experienced in openings strategy. How do you select your universe of stocks you're trading? Based on market capitalization? Something else? Any hints?

I trade DOW 30, but rarely get a fill. I'm fully automated and I programmed it to send an opening order only if midpoint of pre-market bid/ask is within 80% of the envelope. I did this to eliminate news stocks. However, fills are rare. Do you think this is correct approach?

 

If you want more fills, tighten your envelope. It's not hard to cover the news for 30 stocks, pre-market bid ask is not much use most of the time.

 

Pretty much trial and error, stay within S&P500 to begin with.

Don

 

I agree with Don and Lescor, trial and error is what I did in the beginning.

Onto today, I had FV at -1.4%. Turned out not to be a good open for me. I was 3:1 Long which I though would turn out ok. I also went .5 % wider on both longs and shorts today to keep the fill rate lower to reduce risk although I am not sure that helped much today.

 

3 fills all longs, 2 wins 1 loss, about 0.03/sh avg

Agreed with the posters above on stock selection, only to add, observe "behavior". Some stocks may require more leeway than others.

 

Lescor and Don

I assume you guys base envelopes on yesterdays close and not pre-mkt activity?

Thanks

 

I don't pay attention to pre-market activity aside from using to it to try to judge news events. I also don't use opening imbalances.

 

Since we were 15 S&P points underwater today, I put only buys.
4 fills, 3 winners, 1 loser, net 16 cents.

Don

 

Thanks, I took your advice into account. However, doesn't tightening the envelope dilute the "edge"? Like quality vs. quantity.

The bigger the envelope, the purer the edge if filled, isn't it? And the smaller the envelope, the bigger the chance of a random fill. So it naturally feels that increasing number of stocks and increasing envelope would be a good way to go as compared to the opposite? Or not?

If I remember correctly, you were submitting hundreds of opening orders at once in the past. Did you change your mind?