Difference in Open price between market and data feeds
Author: placebo76
Creation Date: 1/16/2016 6:40 PM
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placebo76

#1
Hi,

my system works very well with data that is imported to wealthlab, but it can't be profitable when i have such very big differences between imported data and real time quotes.

An Example:

On 14th January the Nikkei225 index opened in Tokio in EVERY online chart i found at ca. 17300, and EVERY trading tool i found (and where i have a login) the first quote at night (same time) was below 17200

I know that isn't a problem with wealth lab, but there is no chance to trade such big important and well known indices !?!?

Where is the problem? How to handle that?

Has anyone of you the correct opened quote in his trading tool? Maybe i can change the tool / broker, but i found nothing with correct opening quotes !?!?

Regards daniel
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Eugene

#2
Top quality data, a history of delisted symbols and ability to test without survivorship bias are coming to Wealth-Lab soon.

Although NIKKEI is not our primary focus, the correct and realistic opening price for stocks is one of our upcoming data feed's highlights.
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placebo76

#3
That would be nice.

If you check e.g. the S&P500 / ^GSPC, you will see that there is randomly a GAP or not. On 4th. January there is just a small gap in the chart on yahoo website, but in real, there was a big gap on opening ... no one can trade that. I wonder how other trader handle that ...

Regards Daniel
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Harapa

#4
QUOTE:
the S&P500 / ^GSPC, you will see that there is randomly a GAP or not.

The "gap or not "is an artifact of the way SP500 index is reported. Most of the time the open price of SP500 index (^GSPC on yahoo) is very close to the close of the previous day. This is how it has been reported since eternity. Why? I don't know. Given for each index there exist a trade-able product, I will stick with those for any historical analysis (though this will limit the back testing period).

QUOTE:
no one can trade that. I wonder how other trader handle that .

Knowing the limitation of you analysis is the key to coming up with a successful strategy. For example in case of SP500 as open price is not real (which also effects the high or low of the day), what good is to use "Typical price" or "Candle type" for this instrument in a strategy.
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Cone

#5
Right, you can't trade an "Index", so you shouldn't use them as the trading instrument for backtesting. Furthermore, an Index like the S&P 500 has many NYSE components that don't all open for regular trading at precisely 0930 ET - some components may open several minutes later. The "open" calculation is irrelevant for an index like that. Also, depending on the provider, index calculations may be transmitted only every 15 seconds or less.

As Harapa suggests, use an index trading product, like SPY (stock) or ES (e-mini futures) for the S&P 500. This is more realistic.
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sourkraut

#6
Placebo76

Gaps between the close and open of the next day are usually caused by overnight trading.

SPY typically trades until about 8 PM, and starts trading again at 4 AM.

Last Tuesday to Wednesday (Feb 23 & 24) was an example of overnight gaps:

On Tue, Feb 23, SPY closed at 4 PM at around 192.32, but continued it's slide to 192 by 8 PM,
and started sliding again at 4 AM, reaching ca 190.50 just before opening 8:30 AM at 190.63.

If you saw only the close on Tue, and the open on Wednesday, you will seen a gap of
around $1.80, or nearly 1 percent.

Eb