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I'm looking for daily day types and opening types from at least this year.
For ES in particular, but others (DAX, NQ, stocks, ...) are more than welcome.
It's not very comlicated information, but collection it is going to cost some time.
Is somebody willing to share this data?
Or does anybody know where I can get these or buy it?
Thanks a lot
Deetee
Can you help answer these questions from other members on NexusFi?
Thank you. I have acces to historical data, but am looking specifically for opening types and day type. It's more statistical data. Wouldn't know how to extract that from historical data....
Hmmm day types. I have experienced a lot of different day types and I could describe several of them in detail, and able to describe them fairly objectively for my own purposes. As far as statistics go, off hand, I can tell you that I've heard that markets will range just as much as they trend, if not more.
I have my own informal descriptions of things, which wouldn't help you. You need someone who's a quant or market maker or a bit more sophisticated. The only stats I know off hand are limited. I'm discretionary and never in 1st place, I'm slower to classify the type of open and type of day we are having.
There is some statistics in the Gap thread, regarding gaps. Which definitely influences the type of open. Not sure how up to date it is, I just started to dig into the PDF book that was posted on that thread.
Hi, below is an example of day types and opening types. With this info, you can identify why some trades work with X day type and/or Y opening type, and other days these trades don't work. I'm asking, because I am digging into the VWAP journal (
Hello,
in the stock world, vwap is an indicator widely used in particular with big professional money managers that use it to asses the performance of traders.
Is this indicator relevant in the stock index futures world? Is it used and watched by …
) of @JonnyBoy and this is an important part of his setups.
I mean something like this (I googled, meaning my definition could differ somewhat):
2) Open-Test-Drive: Is the next highest confidence opening which generally opens and tests beyond a known reference to make sure there is no new business to be done in that direction. The market then reverses and auctions aggressively back through the open. This opening type leaves the second most reliable extreme.
3) Open-Rejection-Reverse: Is characterized by a market that opens, trades in one direction, and then meets opposite activity strong enough to reverse price and return it back through the opening range. Lower confidence opening where initial extremes only hold about half the time.
4) Open-Auction (Inside Value/Range): Market opens, auctions in one direction until activity slows, then auctions in the other direction. Neither, the OTF buyer or OTF seller is present with any level of confidence. Any extremes established early on, have a low probability of holding for the entire day.
5) Open-Auction (Outside Value/Range): Opens outside Value/Range and auctions around open. Higher odds of directional conviction developing because of open outside Value/Range.
The type of opening sets the tone for the day and has a lot to do with the type of day that develops. The higher confidence opens tend to evolve into more directional/trending days and the lower confidence opens tend to evolve into more rotational/balancing days. The chart below shows the relationship between opening types and day types as well as market profiles.
Here are the rules I set for Day Type Classification for the ES:
Normal Day: Neither IB side is broken, and the IB Range >= 5 points. (I came up with the 5 points by looking at my IB Research and seeing that 5 was the minimum value for 1 standard deviation from the IB mean for the ES)
Normal Variation Day: IB Range >= 5 and 1 IB Side Broken
Trend Day: The day’s Regular Trading Hours (RTH) Range > 21 Points and it must close within 25% of the RTH Range High or Low. (21 Points was determined by looking at my RTH Day Range Research and taking the value 1 Standard Deviation above the Mean. Close within 25% of the day’s extreme was decided arbitrarily.)
Non-trend Day: IB Range < 5 and neither IB side is broken.
Neutral Day: Both IB sides are broken and we close inside the IB Range.
Neutral Day Extreme: Both IB sides are broken and we close to one extreme.
I also added 2 more day types based on the results I was getting.
Narrow Day: Has an IB Range < 5 but 1 or both IB Sides are broken.
Unknown Day: Just a catch-all to make sure I didn’t miss a day or ran into one I didn’t expect.
I finished my day and opening type study this weekend and thought I'd share the results. I went back to the beginning of 2019 and classified all day types according to widely accepted profile definitions. …
I have no opinion on the subject, just found it interesting that there were these two posts at about the same time, and thought the other one might be of interest to you.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
I finished my day and opening type study this weekend and thought I'd share the results. I went back to the beginning of 2019 and classified all day types according to widely accepted profile definitions. …
