Yahoo opening price

Discussion in 'Trading' started by ar1zona, Oct 4, 2011.

  1. ar1zona


    Haven't been here for a while, I am testing an opening strategy which is similar to Don Bright's OPG (which I traded before). It requires me to simultaneously buy a basket of stocks at market open and exit at market close. The basket is a hedged portfolio. So unlike the OPG strategy where you use limit-on-open orders to envelop the bid-ask spread before open, where there's a chance you don't get filled, this method needs a guaranteed fill. That's why it is only used on the most liquid stocks with +2M volume and I only trade a few hundred shares each.

    My problem is all backtest and forward test are done with Yahoo! data. As many other people have posted, this data is not very accurate, that Yahoo records the first print on T&S, not necessarily the opening cross. So here are my questions.

    1. Where do you find the real crossing price. Someone posted a link to get NASDAQ cross 3 years ago ( but the link is no longer working.

    2. Or, what kind of order do I use to ensure I get a price that's the same or very cloes to Yahoo? I heard on NASDAQ stocks the actual opening trade is almost identical to Yahoo, but NYSE tends to be different. However, my basket contains more NYSE stocks, but if that's the only choice I will stick with NASDAQ for now.

    I had this same problem with OPG strategy before, though I was using limit on open orders, that basket contains the most illiquid stocks and many of them dont really have an opening cross so the limit order will never be filled. But this basket is all liquid stocks so the only challenge is to ensure proper execution.

    I know many people will suggest not to use MOO order altogether, that's what happened to other similar threads. But I know there are lots of people fading the opening gap and whether they use limit on open or market on open, they must have a reliable source of crossing prices or able to be filled at the Yahoo price, so this is difficult but possible. If you know how and are willing to share I really appreciate your help.