Emini Trading on the First 30 Mintues 8:30 - 9:00

[cowcool 10]

Statistically speaking,on average, how many minutes are required on market open before market (DJIA, NDQ, SPX, and all eminis) take clear direction of whther to fill or not to fill the gap ?

 

My personal experience (not statistically) is 10 mins, before first ten mins market is usually undecided of whether to go up or to go down but I am still new and learning . I might be wrong, your comments please.

 

Thx!

[Tams 20]

zero minutes.

 

the eminis trade around the clock.

RTH price movements are just a continuation of pre-market price movements.

Edited May 2, 2009 by Tams

[BlowFish 10]

Get a copy of excel (or open office). Go to yahoo finance or similar and download a bunch of historical data. Combine the two and see what you find. Ensign Software (which has a free demo) has a feature that provides rudimentary stats like when highs and lows of the day are made.

 

I wish someone would come up with an off the shelf/install and play 'data mining' package for financial time series data.

[Tams 20]

there is a software, the name escapes me right now...

it is an institutional grade software (ie expensive ~$10k++/yr),

that can do data mining and stat/prob study.

 

eg. it will interrogate the database (thousands of stocks and decades of prices)

and come up with reports like this:

 

CAL goes up X percentage at certain time of the year, 9 times out of past 11 yrs.

[BlowFish 10]

It would be quite doable with off the shelf 'generic' packages. I just think it would be great to have something that plugs into a data feed downloads data and lets you look at it in different ways. Preferably fairly simple and graphical though some sort of scripting would be good. I guess it would be a niche application. Something like matlab (or a free alternative) might be good. To be honest got many more pressing things to do. Dosen't help that I am in lazy mode right now. I also wonder whether it is a useful use of time....I am sure these are the sorts of edges that can get eroded quite quickly (and suddenly).

[jackj 10]

Tams,

I think you're thinking of Best Choice software. And I wouldn't say that RTH are simply an extension of overnight. Afterall, institutions are trading RTH, but aren't overnight, right? And when there's a gap, that means the overnight's having been buying/selling, and if the RTH is simply an extension, it would continue and wouldn't fill, or not likely. But the reality is it fills more often than not, so obviously there's a counter pressure to what the overnight's were doing, no?

[Tams 20]

"Overnight" is a long time to make generalized conclusions.

 

I would say...

RTH is often an extension of the trading action from 6:30am to 9:30am.

[jackj 10]

Thanks for your clarification re: overnight trading, as "often" is a bit different from "just a continuation", and the more recent hours may make it moreso. Nevertheless, I see that there's often a very decidedly abrupt change in action at 9:30, and not just in volatility/volume. Curious, would you not view gaps as anything special, re: being filled, either, since there really are none, since trading is 24 hours (23:45)?

[Tams 20]

"Gap Filling" is part of the market oscillation,

i.e. a continuation of market action.

[jackj 10]

Okay, I think I see what you're saying. I guess my point is that there is a difference between RTH and Globex. Hence, gaps mean something more than routine oscillation. If not, there wouldn't be any special action at the level of the RTH open (if it were just a continuation of Globex hours), nor anything special with filling the gap and reaching the close of the previous day, but there often is. In fact, I noticed that today's high came 2 ticks from filling a gap still open from May 8th (if you use the 4:15 close). Coincidence? I don't think so, especially since I couldn't see any other reason for it to reverse so abruptly there. I'll attach a chart, fwiw. Good discussion!

[Tams 20]

I don't spend any time on studying the gaps.

I found it is more productive to monitor the pre-market from 6:30am ET.

 

 

each to his own... whatever works for you is good for you.

Edited May 21, 2009 by Tams

[jackj 10]

Will start watching that timeframe from 6:30AM on; thanks!

[BlowFish 10]

Tams,

I think you're thinking of Best Choice software. And I wouldn't say that RTH are simply an extension of overnight. Afterall, institutions are trading RTH, but aren't overnight, right? .......

 

'Institutions' are multinational and trade on all markets. An often quoted 'fact' is that the currency market dwarfs every other market in the world combined. Seems that a lot (maybe most) business is conducted there at the Europe open.

 

Apart from European announcements that effect peoples perception of value there are often US announcements pre-market.

 

I think you might be taking a bit of a myopic view.

[jackj 10]

Indeed, if we were talking about currencies, then the European open and its affect on currencies - which is huge - would be at issue. But re: the e-mini's and their gaps, I was simply saying that the US open was not "just a continuation of overnight movement", else you wouldn't see a big difference when the US opened, including often a filling of the gap, and extreme moves in a direction different from the overnight movement, even the 6:30-9:30 movement. Having said that, as stated I will pay more attention to that period, as Tams feels it has merit, so worth a look. Just stating that it's more than just a continuation, as the OP presumed by his question. Afterall, it appears that you feel that the European open is very important, especially to currencies (which trade before then), but would you say that the European open is just a continuation of the trading before it?

[sevensa 10]

Indeed, if we were talking about currencies, then the European open and its affect on currencies - which is huge - would be at issue. But re: the e-mini's and their gaps, I was simply saying that the US open was not "just a continuation of overnight movement", else you wouldn't see a big difference when the US opened, including often a filling of the gap, and extreme moves in a direction different from the overnight movement, even the 6:30-9:30 movement. Having said that, as stated I will pay more attention to that period, as Tams feels it has merit, so worth a look. Just stating that it's more than just a continuation, as the OP presumed by his question. Afterall, it appears that you feel that the European open is very important, especially to currencies (which trade before then), but would you say that the European open is just a continuation of the trading before it?

 

If you stop your charts at noon EST every day and start them again an hour later, you will have a gap then also most of the time. Would you also then think this is significant when the gap gets filled and that it is not part of normal market action?

 

This is easy to say that the gap gets filled "often", but what does "often" means? Why not run a test fading the gap every day and see if you get any statistical significant results to justify your assumption that the gap gets filled often and that you can design a trading strategy around then?

[BlowFish 10]

Just a couple of points. Indexes seem to 'back and fill' quite a lot, regardless of time. That's just an observation.

 

If you watch global markets for a while you will notice at times the ES will go through phases of making its moves overnight other times not. You might be surprised.

 

I think your perception might be from the point of view that Chicago and New York are kind of the the centre of the trading universe. Whilst undoubtedly they are important that's not the case. If you don't buy into the idea that currencies (and commodities and treasury notes) all exert an effect on (US) index prices perhaps you might see how European (and increasingly Asian) corporate results and announcemenst will directly effect global markets.

 

I found this interesting The Global 2000 - Forbes.com is the table. The World's Biggest Companies - Forbes.com has a paragraph of guff. Some of the entries surprised me a little (e.g. I thought Europe would have a higher showing for drugs and biotech).

 

Does any of this matter if you are trading opening gaps? Nope, but it can't hurt to have an appreciation of the global nature of markets.

[jackj 10]

If you stop your charts at noon EST every day and start them again an hour later, you will have a gap then also most of the time. Would you also then think this is significant when the gap gets filled and that it is not part of normal market action?

 

This is easy to say that the gap gets filled "often", but what does "often" means? Why not run a test fading the gap every day and see if you get any statistical significant results to justify your assumption that the gap gets filled often and that you can design a trading strategy around then?

 

Interesting thought... But I think the difference (and this is coming from my supposition, so a bit of circular logic) is that there's a difference (in my eyes) of the market participants from 9:25AM ET and 9:35AM ET, but no inherent change in your example of 12:00PM ET and 1:00PM ET.

 

FWIW, TTM did commission a study - admittedly of limited duration - but they did find tradeable stats. I'll attach screenshots of what they found. I started to do my own, to update them and to factor in other variables, but I didn't already know MS Access, and I'm not up to spending the time to learn it right now.

[jackj 10]

Just a couple of points. Indexes seem to 'back and fill' quite a lot, regardless of time. That's just an observation.

 

If you watch global markets for a while you will notice at times the ES will go through phases of making its moves overnight other times not. You might be surprised.

 

I think your perception might be from the point of view that Chicago and New York are kind of the the centre of the trading universe. Whilst undoubtedly they are important that's not the case. If you don't buy into the idea that currencies (and commodities and treasury notes) all exert an effect on (US) index prices perhaps you might see how European (and increasingly Asian) corporate results and announcemenst will directly effect global markets.

 

I found this interesting The Global 2000 - Forbes.com is the table. The World's Biggest Companies - Forbes.com has a paragraph of guff. Some of the entries surprised me a little (e.g. I thought Europe would have a higher showing for drugs and biotech).

 

Does any of this matter if you are trading opening gaps? Nope, but it can't hurt to have an appreciation of the global nature of markets.

 

I think my original point has gotten misconstrued. It wasn't that those traders/hours don't matter; simply that the switchover to the NY open was more than a simple continuation, that there's a marked difference in activity at that time. That's all... Thanks for all the input; good discussion!

[sevensa 10]

Interesting thought... But I think the difference (and this is coming from my supposition, so a bit of circular logic) is that there's a difference (in my eyes) of the market participants from 9:25AM ET and 9:35AM ET, but no inherent change in your example of 12:00PM ET and 1:00PM ET.

 

FWIW, TTM did commission a study - admittedly of limited duration - but they did find tradeable stats. I'll attach screenshots of what they found. I started to do my own, to update them and to factor in other variables, but I didn't already know MS Access, and I'm not up to spending the time to learn it right now.

 

Be careful to look too much into stats like that. For example looking at the 1 point stat showing a 93% probability. I am pretty sure if you pick a random point during the day, that the ES will have very high probability to move 1 point in a specific direction before the end of the day also. Also, just calculating that there is a 54% chance to fill half the gap before the end of the day is just looking at one side of the equation. It doesn't help much if this move twice that much in the opposite direction first. That mean you will risk 2 to make 1 which in my mind is not a very tradable strategy. You cannot just look at reward and ignore risk.

 

However, if you feel that is a tradable strategy, go for it. This is not for me to tell you how to trade. I'd just be careful to trade something based on stats calculated by someone else without verifying it myself. I'd also be careful trading on my assumptions and what something look like based on a couple of casual observations without verifying them.

[jackj 10]

Thanks for the caveats; all good points. One of the things you mentioned was going to be one of the things I wanted to track on my own, and that's how much a drawdown do you have prior to that fill/partial fill. And I think goes to the question of the OP; when should I expect it to have filled by, if it's going to. Legitimate question and concern, and indeed, absent some good, reliable stats... And I think that's what he was asking, thinking someone might have some.

As it is, I do play it partly on those stats. That is, a larger gap is less likely to fill. And I'll usually wait for a break of the RTH highs/lows to enter (towards the fill). So this morning, with a large gap, I waited until it did break the RTH highs, then entered, but also took profits at a 50% fill for the TF. Last week there were a couple the other way, where it gapped up, and not as large of gaps. Those times, the pre-market action had established highs, and then price had come down some and opened a bit lower than that. Instead of waiting for the break, when price started up, and figuring that it would attempt a fill if it didn't take out the pre-market highs, I sold on a test of those highs. Have a tight stop in, and it did retreat from there. I already had profits by the time it went back to the open, and then it did break and fill. There are no guarantees; it's all percentages and management. And no, I'm not perfect at it Just pointing out how one can trade it. Thanks again for the thoughts, and good trading.

[Tinson 10]

I tend to agree with Tams. I don't think you can find any number that can be used to determine 'clear market direction' from the open due to many noise from news before the bell and noise from comming news after the bell. I haved tested many opening price therories and came up with none. Opening gap is a noise like any other noise. It is hard to filter out without compromise other possibilities.

Tinson

[jackj 10]

Thanks, Tinson. I actually agree, that there isn't likely a hard number. Again, my only point was his initial comment that the US open was simply a continuation of pre-market. That I still wouldn't agree with. But I think we've adequately beaten this horse to death Thanks again for the inputs!

[brownsfan019 17]

Gaps are an interesting discussion IMO. I'm sure most have looked at them and I personally have never found a tradable system. Some days look so easy to just buy/sell the candle pattern that is on your chart and ride till it closes the gap.

 

Other days, not so much.

 

Actually, I think I'll start a thread and we'll see if anyone using gaps could contribute.