Trading on the open

[a_gnome]

I'm developing some US stock trading strategies using daily data. The orders are calculated on the previous day's and submitted before the market opens the next day.

In order to check my assumptions I was just wondering about trading at the opening price. Am I right that the opening price is determined by an auction process with all "overlapping" buy and sell orders matched at a common weighted price? In which case I presume that it is reasonable to expect that I would get filled at this opening price if the open gaps beyond my current limit order. What happens about the up-tick rule if you are shorting at the open? Does the overnight gap up count as an up-tick?

 

[donbright]

Overnight gap up counts as uptick, and you should probably check the SHO list to see if an uptick is required before entering an order at a lower price than the previous day's closing price. Be sure to adjust your bid/ask envelope and modify pricing adjusted for Fair Value and S&P futures prices. This "opening only" strategy is still one of the most lucrative to our traders, and I've been doing it since the 1970"s - adapting with the markets, of course.

 

[neil]

Hello Don - nice to see a pro trader from the States. You still writing over at elitetrader?

 

[donbright]

Yeah, I'm "multi-tasking at times, LOL. I actually read about this site on ET...and will try to help out when I can.

 

[PitBull]

Thank god we have some serious traders on board, welcome don, like your stuff on ET

 

[donbright]

Thank god we have some serious traders on board, welcome don, like your stuff on ET

I'm not sure how much God had to do with it, but I do appreciate the welcome!!

Don

 

[donbright]

CPB was good this morning (got out too soon however)...anyway +$487 - out of everything at 5min33 seconds after the market opened.