I'm only talking about the small cap (~100000 shares daily) stocks I trade. If the stock reports bad news, the open is actually the best place to sell - the open is going to be the best price. But if it's a normal day and you want to buy/sell 5000 shares you are going to be chasing the bid/offer in the first thirty minutes. this is a form of price discrimination by the big funds. if the least informed traders trade in the first 30 minutes, then they are going to get the worst price. it's like buying your groceries at 7-11. if you want the convenience you are going to pay a premium.
He started a thread over at the Forex Factory forum where he explains his methodology in detail: Scalping the Mini Dow off the M1 Charts
This guy seemed like he never loss in his day trading One piece of advice, do you ever suspect why he never post his live trading video everyday ? Check the volatility (or at least look at the chart) of the day that he never post his result. The day trade is all boil down to two DIFFERENT approach to be profitable (this guy is using one of the approach)- the million dollar question you has to answer - is the day side way or trend ? The problem is you will not know until you are in the hindsight, and it is too late at that time as you already loss money because you are using the wrong approach. This is the reason non of the institutional (who know this sh** better than any of the ETs here) ever has the day trade department that used solely chart or price actions. another hints: Institutional has a lot of ways to enter the market with big volume without moving the market (this is no longer 80s where you had to phone your broker). Their issue is they don't have the crystal ball