Hello,
What is the recommended method of obtaining the opening prices for all symbols within a dataset, and placing orders based on the results (as quickly after open as possible)?

I realize this question is rather vague, but basically I would like to place orders just after the open, based on the opening price. Ideally within seconds (or less). What is the fastest way of obtaining these prices? Would I use 1-minute bars and check at 9:31? Would I use GetSessionOpen? Can somebody point me to an example that would work efficiently in live trading (not just backtesting)?

Thanks!

GetSessionOpen is the only supported way of obtaining the open price of today's incomplete Daily bar. You can prepend a Google query for GetSessionOpen with "site:wealth-lab.com" to find more discussions on this topic.

Eugene, I'd like to quote you from another thread:

QUOTE:
1) Why not? GetSessionOpen is already OK to run shortly after the market open.

Can you define "shortly after"? 10 Seconds? 2 minutes? 10 minutes?

I assume it downloads the intraday data "on demand" which is generally time-consuming; Is there a recommended trick to speed up the process on a dataset of 500-1000 symbols?

QUOTE:
Can you define "shortly after"? 10 Seconds? 2 minutes? 10 minutes?

It depends on how actively your symbols are traded. As you know each symbol "opens" with its own first trade of the day at its own time.

QUOTE:
I assume it downloads the intraday data "on demand" which is generally time-consuming;

No, it downloads just a lightweight quote. The implementation of GetSessionOpen varies by provider. Some let you know just the partial bar's open price, some have to return a couple of days of EOD data. But in any case a GetSessionOpen call ranges from a few bytes to a few dozen bytes per symbol.