Daily Opening Prices

[mortonas]

I want to trade on daily price movements of stock indices. Using data on the basic opening, closing, high and low prices I have found a model which predicts if the index will go up or down fairly accurately.

However, now I see that the opening prices on the trading sites each day are quite different from the official opening prices and they use "a variety of sources in order to price Daily Index bets" but are heavily influenced by the future prices.

Obviously to test the accuracy of a system I would need an accurate record of the opening prices I could get. How do people get round this?

Thanks a lot.

 

[ZEPPO]

I want to trade on daily price movements of stock indices. Using data on the basic opening, closing, high and low prices I have found a model which predicts if the index will go up or down fairly accurately.

However, now I see that the opening prices on the trading sites each day are quite different from the official opening prices and they use "a variety of sources in order to price Daily Index bets" but are heavily influenced by the future prices.

Obviously to test the accuracy of a system I would need an accurate record of the opening prices I could get. How do people get round this?

Thanks a lot.

That would depend on what index you want to trade, really; I use DigialLook.com for the FTSE100, as I found that they respect the opening price as it happens, not by taking the close of the day before.
Otherwise you might have to subscribe to a real time datafeed.
Hope this helps.

Eduardo.

 

[TomTom]

Hard to detect the direction from opening ticks M8
After the opening 15 mins possibly.
Look at the patterns from the globex trading and how it converts to real opening hours for an insight of how the day may map out .

Never trade the opening when support resistence levels is in play at the time of opening.

 

[mortonas]

Hi, Thanks for the info about those websites

Today's movements on the FTSE100 give a good example of my problem. Yesterday's
closing price was 4006 and it opened today at 3956 as shown on digitallook.com.
However, at 8am the price for FTSE 100 daily on the spread trading sites was less than 3900
(and indeed the official price plummeted on opening) and it this value I would like to find
a record of.

I do time series predictions using the opening and closing prices from previous days so actually
viewing the charts is not important for me. But because I only have data on the official opening
prices I am worried that my edge disappears when using the opening prices I would get from a
spread trading site. But I have no way of telling without data.

 

[barjon]

mortonas

You will always have difficulty. The "official" LSE rules do not allow for a gap opening (or the effect of the pre-market auction) thus the official opening is the previous day's close. Some data providers stick to those rules. Other providers try to reflect the reality but use different methods of doing so until the first "official" calculation clears the air. The Spread Betting companies usually calculate an opening from what's happened to the futures and there will be a fast (untradeable) move when that's out of line.

Best I can suggest is that you stick with one provider - at least you'll be consistent then. That still doesn't help you much if you're going to trade via spread bet though.

good trading

jon

 

[barjon]

mortonas

You will always have difficulty. The "official" LSE rules do not allow for a gap opening (or the effect of the pre-market auction) thus the official opening is the previous day's close. Some data providers stick to those rules. Other providers try to reflect the reality but use different methods of doing so until the first "official" calculation clears the air. The Spread Betting companies usually calculate an opening from what's happened to the futures and there will be a fast (untradeable) move when that's out of line.

Best I can suggest is that you stick with one provider - at least you'll be consistent then. That still doesn't help you much if you're going to trade via spread bet though.

good trading

jon