After having played with buying at open with Market order in NASDAQ, I stopped doing it.
Well, I still have my orders at the open...but with limit. This prevents me from getting some outrageous prices. When I place limit orders, there are chances that they never get executed. I figure it's okay, because it means the stock was above my acceptable price of purchase, anyway. Just my two cents, intermilan04 --- In [email protected], "intermilan04" <[EMAIL PROTECTED]> wrote: > > I'm using Scottrade and trade on NASDAQ only. > > intermilan04 > > --- In [email protected], "Mark H" <amibroker@> wrote: > > > > Just curious, which broker do you use? > > I use IB and trade at open. I can get the open prices probably 95% > of the times. Not bad but not like the 100% your broker get you. > > > > ----- Original Message ----- > > From: intermilan04 > > To: [email protected] > > Sent: Wednesday, August 23, 2006 6:52 PM > > Subject: [amibroker] Re: Buying at open -- In Real Life > > > > > > I am by no means one of the big fish in the market, but I have not > > experienced a single occassion of slippage. The "opening price" that > > shows up on Yahoo Finance is the exact price, down to cents, that I > > traded with. I place orders overnight so internet connection is not > > my issue; the order is already handled by my broker in pre-market > > awaiting the opening bell. > > > > intermilan04 > > > > --- In [email protected], "Terry" <MagicTH@> wrote: > > > > > > So, this is a good lesson in slippage. Slippage WILL HAPPEN. If > it's not > > > the open price it will be some "surprise" like Iran or N. Korea > drops a > > > nuke or something much simpler like your internet connection is down > > > when you need to trade or your take a vacation. The backtester never > > > takes a vacation and never has computer problems and already "knows" > > > about all the wars, oil spills, etc ;-) > > > > > > (Not preaching to you Monty, just taking the opportunity and your > > > research to make a point.) > > > -- > > > Terry > > > -----Original Message----- > > > From: [email protected] > [mailto:[EMAIL PROTECTED] On > > > Behalf Of the_bear_98 > > > Sent: Tuesday, August 22, 2006 16:06 > > > To: [email protected] > > > Subject: [amibroker] Re: Buying at open -- In Real Life > > > > > > > > > Terry, Yes, it looks like a "minutes" type test, but actually was > > > about 750 trades over 8 years with an average holding time of 6.6 > > > days. > > > another way to look at the math would be to simply do the > compounding > > > of 4% vs. 3.7% 240 times. (approximately the number of full turns I > > > got with my stocks over eight years--"back test" data- no way real > > > life would hold up.). We get 1.04^240 vs. 1.037^240 for 12,246 > times > > > your $ vs. 6,122 times your money, or 50% less with "slippage" of > > > just 0.3%. I think as long as you can look at things like this in a > > > backtested system, you will be more aware of things to monitor > to see > > > that you are getting close to what you backtest. > > > Thanks > > > Monty > > > > > > --- In [email protected], "Terry" <MagicTH@> wrote: > > > > > > > > Monty, > > > > > > > > > > > > > > > > I really like your analysis and thinking on this test, but I > > > > respectfully submit that if your system drops 50% of it's profits > > > for a > > > > nickel change is price, something else is wrong -- or you are > > > trading in > > > > minutes and not days ;-) > > > > > > > > -- > > > > > > > > Terry > > > > > > > > -----Original Message----- > > > > From: [email protected] > [mailto:[EMAIL PROTECTED] > > > On > > > > Behalf Of M Webb > > > > Sent: Sunday, August 20, 2006 12:02 > > > > To: [email protected] > > > > Subject: Re: [amibroker] Re: Buying at open -- In Real Life > > > > > > > > > > > > > > > > You might want to do a sensitivity test to see what happens to > your > > > > system if you do not get the "OPEN". > > > > > > > > First run the cases where the High is greater than the Open, > and you > > > > fill at some possible price within that range, and then run the > > > cases > > > > where the Low is lower than the Open and you get that price. Here > > > is an > > > > example of the code. This is not "peeking", it is allowing the > > > price to > > > > wander up or down, and you are getting filled at some % away from > > > the > > > > Open. I used to think that fills could be both over and under > > > the "Open" > > > > by a few cents and over the long run, it should average out to the > > > > backtested results. Obviously this depends on what your system > is, > > > but > > > > this is what I get with my "Buy on a pullback" system. If you get > > > fills > > > > more than a few tenths of a percent away from the Open, even if > > > they are > > > > on either side, your system can drop like a stone. Yes there is a > > > magic > > > > zone where if you could always buy at the nanosecond the stock > > > trades a > > > > few cents over the Open you make even more money- BUT you can not > > > let > > > > your order be "seen" or of course it will fill and then the price > > > will > > > > drop back a few cents. You have to let the market wander up > and then > > > > jump in. Better to just try for "Open" and see that your system > > > makes > > > > money even if you miss the Open. > > > > > > > > > > > > > > > > -- > > > > > > > > Monty > > > > > > > > Buy = Ref(allgood,-1) > > > > > > > > AND O/L>=Varopendrop; > > > > > > > > BuyPrice = O/Varopendrop; > > > > > > > > _____ > > > > > > > > > > > > > > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. > > > > > > To get support from AmiBroker please send an e-mail directly to > > > SUPPORT {at} amibroker.com > > > > > > For other support material please check also: > > > http://www.amibroker.com/support.html > > > > > > > > > Yahoo! Groups Links > > > > > > Please note that this group is for discussion between users only. 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