I wish to add a gap trading system to my ‘trading arsenal’.
I’ve a question (for those of you who are familiar with trading gaps and familiar with the futures markets).
The regular trading session of the NYSE opens at 09h30 Eastern Time (New York) and closes at 16h00 Eastern Time (New York) correct???
The Dow Cash Index (for example) is traded between these times. However: the Dow Futures trades twenty four hours per day (well: it’s closed for an hour or so but this is not relevant to my question). My question is this: is it a valid methodology to take, say, a thirty minute chart of the futures and calculate the (opening) gaps using this chart??? Obviously I’m asking this question because only the Dow Futures (and not the Dow Cash Index) is available to me for trading.
Also: what would be considered the high or the low of the day using the above method??? Would the highest high or lowest low reached on the thirty minute chart for the day between these times be considered the high or the low of the day or would it be the actual high or the actual low reached on the daily chart of the futures (which obviously would only roll over at 00h00 Eastern Time (New York))???
How come I never get any answers when I ask questions!!! LOL!!! (Only joking)!!!
But yes: this is a ‘bump’ i.e. I would not normally bother BUT I’d really like some input on my post above (rhodytrader)???
And come to think of it: something REAL basic occurred to me yesterday i.e. when the likes of Bloomberg or CNBC quote the closing price of, say, the Dow, then which price are they quoting i.e. are they quoting what to US would be the bid, middle, or ask price??? I’ve noted that on some ‘professional’ charting applications it’s the middle price that is always quoted. Comments???
Thanks for (at least) LOOKING at my post!!! LOL!!! I was starting to get the feeling that I was being ignored!!! LOL!!!
First: thanks for your input on the price quotes. I thought as much i.e. I just wanted to be sure is all.
Regarding my MAIN query though:
My problem is the fact that I am only able to trade the Dow (as an example) Futures and that is traded 24/5 (you know what I mean). This means that there are no gaps shown in the charts i.e. they are continuous. However: the ‘proper’ Dow (for example) (I call it the ‘proper’ Dow but it’s actually the Dow Cash Index) only trades during the NYSE trading hours and therefore you will (almost always) have an opening gap the next day (which is tradeable). So what I’m trying to accomplish here is to show the gap on the FUTURES ‘as if’ it were the Cash Index. Does that make sense??? And the only way that I can think to do it is to take the correct close on the 30-minute chart from the previous day at 16h00 ET (that’s my ‘close’) and then I will (obviously) know what the ‘opening’ price is of the bar today at 09h30 ET and THAT SHOULD be my opening gap??? In MY mind this SHOULD be alright simply because (as I understand it) the large Fund Managers etc. use the Futures to trade outside of normal trading hours and the Futures are balanced (arbitrage) to the Cash Indexes upon the open (or the close i.e. I’m not sure which) of the Cash Indexes.
Yep: you have the same issue as me and your understanding of MY issue is quite correct. I also have that option on a particular charting package but it only hows the gaps on INTRADAY charts i.e. it does not show the gaps on the DAILY charts. It’s odd I know but that’s the way it works (and that’s why the daily high or the daily low on the DAILY charts, in this case, is misleading at best).
Maybe I can shed some light on what YOU are saying (about the closing prices fluctuationg and the prices changin outside of regular market hours):
ACTUALLY: the S&P 500’s (as an example) trading hours are 09h30 ET to 16h15 ET and, as far as I understand, ‘settlement’ takes place during that last 15 minutes and that’s why yours and my charts’ closing price AT 16h00 will differ from the ‘settlement’ price at 16h15. I also know that the Institutional Traders can trade the ‘Pre-market’ which, again, if memory serves me correctly, is 45 minutes prior to the NYSE open (pretty dang unfair not)??? LOL!!! That’s why THEY get to ‘dump’ their stuff before anyone else on bad news!!! LOL!!! I’ll wager that the same applies to the FTSE.
The above being said: I could be ‘ever so slightly’ ‘out’ here so it’d be nice if somebody (like John i.e. rhodytrader) would ‘mosey on over’ to this thread i.e. I THINK he knows a bit about this stuff!!! LOL!!!
But thank YOU for your input. I think we’re ‘right’ here.
As a matter of fact (and now that I come to think of it): DID YOU KNOW that there are STATISTICS published in this regard i.e. there are certain days where the probability of the opening gap being closed on the same day are far higher than other days. The problem: I forget WHERE I saw those stats!!!
By my (30-minute) calculations the S&P 500 (Futures) closed at 1089.28 (or thereabouts) at 16h00 ET on Friday. It was closed yesterday. For most of yesterday and today it’s been drifting down. At exactly 09h30 ET it started moving up ‘with a vengeance’. Let’s see what happens at 10h00 ET!!! Edit: ‘still flying up’ after 10h00 ET. Edit: interesting that if you took into account the additional 15 minutes trading on Friday then the gap has already been closed (at around 10h15 ET). Edit: no good for my system Matt but TRADITIONAL gap trading would have got you in long at the open at 09h30 ET at 1078.00 meaning 11.28 S&P points profit in 30 minutes or so (these are approximate prices by the way i.e. it depends on which broker’s charts you’re looking at of course). Edit: stalled at around 1085.00 at around 10h15 ET. Edit: ‘MY’ gap (1089.28) closed at around 10h22 ET. Edit: gaps closed and now we’ve stalled. Any bets: we go down from here??? Edit: OK so my reversal didn’t come today (‘Murphy’s Law’)!!! LOL!!! That said: 'it’s not over ‘til the fat lady sings’!!! LOL!! Edit: so my reversal was late is all (and I’ll wager it was just because yesterday was a holiday so a slight ‘overreaction’ today is all) (11h17 ET)!!! LOL!!!
Well Matt: I wasn’t going to create a new post for every movement in the S&P!!! LOL!!! As I said: ‘Murphy’s Law’!!! I’ve watched that action for five years now AND THE DAY that I tell someone about it decides to embarass me!!! LOL!!! (Remember the PM I sent you yesterday)!!! LOL!!!
Edit: COME TO THINK OF IT is TWITTER not the ‘ideal thing’ for that type of ‘running commentary’??? Maybe I should give it a shot!!!
ANOTHER edit (LOL!!!): ACTUALLY I was only ‘out’ by a couple of hours yesterday i.e. the Dow closed DOWN 1.1% yesterday!!! LOL!!! (I don’t know if that counts though)!!!
Hay SanMiguel,
Thanks for the input. My problem is that I’m very happy with my broker (OBVIOUSLY and, what’s more, I don’t really have a choice in the matter)!!! LOL!!! And yes: you’re quite right about the SPDR. I forgot about that (although there are additional commissions payable on ETF’s). There are other indexes that I can trade e.g. the AEX, SMI, etc. and of course these CLOSE and OPEN and I am therefore able to see the gaps but, as many here know, the Dow, S&P, and NASDAQ are my ‘darlings’ and ‘instruments of choice’ so there’s my problem. I’ve considered using another charting package that has the features that you describe (I’ve actually been testing one very nice ‘professional’ charting package) but the problem is that I’ve yet to find ANY two brokers / charting packages where the prices are identical at any given time (but that’s a discussion for another day on another thread)!!! LOL!!!
Let’s see how my ‘theory’ ‘plays out’ today (in a CRASS attempt to redeem myself)!!! LOL!!!
Regards,
Dale.
Edit: HEY!!! I’m ‘tweeting’ (‘deltastocksa’)!!! LOL!!! I’d even forgot that I’d set this up!!! Now I’ve just gotta figure out how to use it!!! Does anyone know how to get ‘tweets’ sent to you ‘on the fly’ i.e. without having to refresh the page or wait for a ‘tweet’ to appear in your e-mail inbox??? You know: a sort of ‘on the fly tweet update’??? I’m ‘just a tad’ behind the times you know!!! LOL!!!
ANOTHER edit: Hey!!! ‘Kewel’!!! You just add the ‘Twitterer’ (the person who you wish to receive tweets from) as an RSS Feed in IE8 and add it to your Favourites Bar. That way: the button gets updated at a certain interval which you can set (at least I THINK that’s the way it works).
And YET ANOTHER edit: I’m ‘cooking with gas’ here this morning!!! LOL!!! I found a little application called ‘Cloudberry Twitter plugin’ (it’s free). It allows me to tweet RIGHT from IE8 ‘at the mere push of a button’ i.e. I don’t have to log in to my Twitter account in order to tweet (love that word)!!! LOL!!! YES: trading daily charts leaves me with a LOT of spare time on my hands!!! LOL!!!
Yep: I also (just) found a thing called ‘twhirl’ and that seems to work quite nicely too i.e. tweet from your desktop (not necessary to have IE open). You can also set the update interval from very short to quite long. So far, so good. I just thought that it could be a great tool for posting updates (like I TRIED to do yesterday) or trade signals or stuff like that. From what I gather: you can create a sort of ‘closed group’ on Twitter as well so that your tweets don’t go EVERYWHERE to EVERYONE. Who knows? Maybe useful?
And yes: ‘Murphy’s Law’!!! Well: the Futures are going UP now so, by MY theory, they should go DOWN at the open!!! If they do: I’ll TWEET!!! LOL!!!