Pre-Market Opening Estimate - Off-Topic | futures.io
futures io futures trading


Pre-Market Opening Estimate
Started: by DallasCowboysFan Views / Replies:215 / 3
Last Reply: Attachments:0

Welcome to futures io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike

Reply
 
Thread Tools Search this Thread
 

Pre-Market Opening Estimate

  #1 (permalink)
Trading Apprentice
Dallas, Texas / USA
 
Futures Experience: Beginner
Platform: Charles Schwab
Favorite Futures: Emini ES, VIX
 
Posts: 4 since Aug 2016
Thanks: 1 given, 1 received

Pre-Market Opening Estimate

Just curious....

How are the starting numbers determined prior to the opening bell?

If you can't buy or sell equities and there is no supply and demand, how do the numbers change?

When traders put in orders during the off-hours ....do the orders stay with the broker...or do the orders go to the server at the NYSE etc.....and it keeps a running tab on the statistics ?

And ...on CNBC that have something like .....opening estimate and implied volatility.......something like that.....I don't remember the exact terms they use. But it is the estimated opening and the implied volatility is usually about 10 percent of the estimated opening. Is that a margin of error....+/-.....from the estimated opening?

Just wondering.....

Thanks.

Reply With Quote
 
  #2 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,354 since Feb 2013
Thanks: 3,948 given, 5,693 received
Forum Reputation: Legendary


DallasCowboysFan View Post
Just curious....

How are the starting numbers determined prior to the opening bell?

If you can't buy or sell equities and there is no supply and demand, how do the numbers change?

When traders put in orders during the off-hours ....do the orders stay with the broker...or do the orders go to the server at the NYSE etc.....and it keeps a running tab on the statistics ?

And ...on CNBC that have something like .....opening estimate and implied volatility.......something like that.....I don't remember the exact terms they use. But it is the estimated opening and the implied volatility is usually about 10 percent of the estimated opening. Is that a margin of error....+/-.....from the estimated opening?

Just wondering.....

Thanks.

On electronic platforms most US stocks, ETFs etc. are traded 0400EST-2000EST (1000CET-0200CET).
Besides CME index futures are trading 1700CST-1600CST (0000CET-2300CET) with a pause of
15mins at 1515CST (2215CET). Any calculatory differences between futures and their underlyings
offer arbitrage opportunities. Where your orders "stay" depends on your broker (keyword: DMA) and
your own trading privileges (ETH, RTH; ECN, dark pools etc.).

So forget about any "bell" - it's a mere reminiscence of the past.
The only difference between ETH and its subset RTH is that due to regular real life working
hours the bigger part of liquidity normally shows up during RTH.

The "miraculous" opening estimates in the media are simply futures price +/- base (i.e. regular difference
between futures price and underlying). Same with implied volatility. For the S&P, it's traded 22.75 hours
a day as an asset of its own: VIX. For single stocks it can either be derived from SSFs +/- base or
from the options which are also traded ETH.

Reply With Quote
The following 3 users say Thank You to choke35 for this post:
 
  #3 (permalink)
Trading Apprentice
Dallas, Texas / USA
 
Futures Experience: Beginner
Platform: Charles Schwab
Favorite Futures: Emini ES, VIX
 
Posts: 4 since Aug 2016
Thanks: 1 given, 1 received



choke35 View Post
On electronic platforms most US stocks, ETFs etc. are traded 0400EST-2000EST (1000CET-0200CET).
Besides CME index futures are trading 1700CST-1600CST (0000CET-2300CET) with a pause of
15mins at 1515CST (2215CET). Any calculatory differences between futures and their underlyings
offer arbitrage opportunities. Where your orders "stay" depends on your broker (keyword: DMA) and
your own trading privileges (ETH, RTH; ECN, dark pools etc.).

So forget about any "bell" - it's a mere reminiscence of the past.
The only difference between ETH and its subset RTH is that due to regular real life working
hours the bigger part of liquidity normally shows up during RTH.

The "miraculous" opening estimates in the media are simply futures price +/- base (i.e. regular difference
between futures price and underlying). Same with implied volatility. For the S&P, it's traded 22.75 hours
a day as an asset of its own: VIX. For single stocks it can either be derived from SSFs +/- base or
from the options which are also traded ETH.


Thanks it makes more sense now.
I knew that oil traded 23 hours a day but I never paid attention to equities. I thought that pricing stopped when the markets closed.

What is DMA.........

If you wanted to buy something after hours is it done the same way as a regular purchase?

Did you learn all this on your own or was it from grad school.......You sound well informed.....


I appreciate your time....

Reply With Quote
 
  #4 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,354 since Feb 2013
Thanks: 3,948 given, 5,693 received
Forum Reputation: Legendary


DallasCowboysFan View Post
Thanks it makes more sense now.
I knew that oil traded 23 hours a day but I never paid attention to equities. I thought that pricing stopped when the markets closed.

What is DMA.........

If you wanted to buy something after hours is it done the same way as a regular purchase?

Did you learn all this on your own or was it from grad school.......You sound well informed.....


I appreciate your time....

You're welcome.

DMA is direct market access. With DMA the order are directly placed at the exchange.
The opposite are trading desk brokers; the orders stay with them and they normally
match it internally (most bucket shops work that way).

A mixture are routing algos that you can use as a customer that allow a DMA broker
to first look for internal matches. E.g.: A sells 100 AAPL, B buys 100. In this case
the algo would allow the broker to match A and B without routing the order to the
exchange. Nevertheless he charges both A and B the commissions (sometimes
less a fraction to encourage customers to use the algo).

And yes, buying outside of RTH regularly basically works the same like during RTH.
But in some cases the trading venues differ, esp for stocks when the main venue
is closed. For futures, e.g. ES, the venue is exactly the same for all hours; only
the margins differ.

And yes again. I learned much of that completing my studies, but there are many
things that only practice can teach us.

Reply With Quote

Reply



futures io > > > Pre-Market Opening Estimate

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

PTMC Protrader Platform First Look w/Sergey Sokolov

Elite only

Spring Grains Outlook w/Sean Lusk @ Walsh Trading

Elite only

FIO Video Journal Challenge featuring NinjaTrader ($2,000+ of prizes)

April

Process above all else w/Anthony Crudele @ Futures Radio Show

Elite only

Machine Learning - Quantitative Trading w/Martin Froehler @ Quantiacs

Elite only

Market Dynamics w/Peter Davies @ Jigsaw Trading

Elite only

Ask Me Anything w/Patrick Rooney @ Trading Technologies

Apr 18

Ask Me Anything w/FuturesTrader71

Apr 19

Machine Learning w/Kris Longmore

Elite only

Market Analysis w/Dave Forss

Apr 25

Introducing iSystems with Stage 5 Trading

Apr 27
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
DTs Pre Market Prep DionysusToast Trading Journals 977 March 23rd, 2017 07:13 AM
Pre Market scan Thinkorswim Jrzyboy88 ThinkOrSwim Programming 2 December 8th, 2016 09:25 PM
Help with TOS Pre-Market lawsonphoto ThinkOrSwim Programming 2 June 23rd, 2016 01:12 PM
Pre-market & Post-Market Trading Hours Color Coding dhiebert MultiCharts 1 April 7th, 2015 04:04 PM
How To Forcast Market Condition Based On Pre Market & Overnight Session? SeanKozak Elite Automated Trading 2 February 23rd, 2013 11:18 AM


All times are GMT -4. The time now is 02:02 AM.

no new posts
Page generated 2017-03-25 in 0.11 seconds with 19 queries on phoenix via your IP 54.166.123.247