FTSE Auction - closing variations

[Scripophilist]

Sounds like a new CD that's advertised on the TV at Xmas!

Anyhow, I have been watching the move pre and post auction on the FTSE. I often nip in at the close for a few quid but am nervous about the average movement on the FTSE.

Today my live stream showed an intial closing price of +2.2, too close for comfort so I didn't trade in the run in to 16:30, Five minutes later the offcial closing price after the auction had slipped to -2.3.

Has anybody done anywork on the average variance of the 16:30 closing price and the final closing price?

Would be interested in hearing peoples views, opinion, data on this.

 

[Scripophilist]

Well I received no replies so I guess the answer was NO!! LOL.

Any how that didn't stop me so I went out and started looking at it myself. I only have 30 days or so of data but here is the inital feedback.

Average movement is 1.71 with a STDEV of 4.72
Or in % terms, 0.107% and 0.038% respectively.

I have found a useful way to put this to use.

My work continues. If it is of interest to anybody please post and I will update the thread when I have a decent range of data.

 

[bonsai]

I looked at it but from a different standpoint.

the issue was whether to close an existing trade at 16.30 or wait
for the auction. But I did not find any correlation worth the candle.

seems to have greater correlation with Dow which can often move
between 16.30 and 16.35.

 

[Scripophilist]

I've noticed (or maybe it is confirmation bias?) that the DOW seems to rally almost every night as the auction is coming in to close. I have no evidence to suggest this but have noticed this happen on many occasions.

 

[Tubbs]

auction bias

I have been on here with info about market profile, or bell curve trading. I think that the auction process may be linked to that - given the fact that it is quite usual to see the auction take price closer towards the day's 'value' - sometimes the auction finishes exactly on this price which can be quite a good sign of all things being right in the market.

Don't know if this helps much in a system though, and I can't really find any correlation that can be used effectively for a solid directional bias - maybe used more of a percentage thing - i.e. the market reverts towards value about 80% of the time. This number of 80 was totally arbitrary so I will do further investigation.

 

[bonsai]

Scrip
it did it again today.
hardly had the gong struck 16.30 when wooosh.

didnt have all that much effect on the auction it would seem
but if it had happened 2 mins earlier ???