Even entering in the first 30 minutes, or entering a non-sim trade at all, quickly becomes a game of Russian roulette, if you place a precedence on risk:reward in these HFT-dominated markets.
Why would the spread increase with a volume increase? They are an inverse relationship regardless of the catalyst.
You guys are extrapolating your discretionary trading strategy over to a completely different one based on statistics. I do not care what the open price is, I do not have a particular price in mind, all that matters is that I get close to that open price.
Does your system work off referencing the bid at open or is it just using a MOO order? You did as you said get the open price and ended up being not an ideal entry into the trade. Like you said your system is based of using the open and has been tested and been statistically verified so I guess it's just a trade and move on to the next one. If it is based off referencing the bid/ask at open then maybe some delay could help in the entry but that would have to be tested as well.
You got the opening price. 3.29. Sh*t happens. You might seriously consider putting a limit on your OPGs so that you don't take ones that are out of whack.
Just MOO order...and yes what I was saying earlier is that I did indeed get the open price it was just some unique price action that made it look weird and Im ok with that.
Im fine with getting the true open, as I discovered I did....and you cant just make rules that you cant backtest, might as well go discretionary if Im going to do that.
Well then you might change your order size depending on how liquid the stock is so that when you do get bad fills on relatively illiquid stocks, you won't be hurt as much.
I read once that you could give someone a proven profitable trading system and 99% of people would still lose money. I can see exactly why here. Some of you continue to get stuck on the limit orders so I dont get a bad fill...aka a price lower than would you would want to buy at. This thought process is for discretionary trading, not statistically based system trading. Again...I DO NOT GIVE A DAMN what the open price is, what the company is, what their earnings report it is, if its the end of the quarter, friday, XMAS, what trend its in, its fundamentals, what CNBC says, etc. All I care is that the size of my activities does not push the stock out of normal trading activities and I get the open price. We have found that I accomplished both, all is well with the world. I added some context around at open orders and the open auction as a courtesy because some of the things said earlier were incorrect.