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this is a major problem with Tradestation at
the moment, not providing pre- and after market
price-time series for equities ( they do provide quotes )
a system can not be currently written
to execute pre or after market. risk can not be
adequately managed with overnight positions.
at same time pre and after market activity is
very important since it has substantial amount
of momentum, especially in pre market.
many stocks are now trading with volume pre market
and after market on earnings reports...
however the users can not take advantege of premarket
momentum or aftermarket volatiltity to make money
or manage risk.
i consider Tradestation not being able to have
access to bar data pre and after market a
considerable problem that needs to be
addressed asap. it is THE major limitation at
the moment.
it was pointed out to them even before
Tradestation Pro came out but they weren't
listening... now NY and Nasdaq stocks
can have 1M pre of after market volumes...
sadly they have enough experience
to handle the problem based on the extended
hours futures trading.
this problem can be easily corrected on the
their side.
- enable servers to collect data pre market
and after market 7:30 AM to 9 PM
- call this "extented hours session" and allow the user
to plot that data on the charts as bar data, as an option.
- allow EL code to be executed on those bars.
- after market close, filter out "late trades" flagged
ticks, about 5 minutes right after the close.
to avoid building bars based on late ticks...
all late ticks are tagged by the exchanges and
can be easily filtered out or back-inserted in time.
- on TS Pro the limit orders can be executed
thru most of the ECNs. so the limit order
routing will still work. market orders generated
by the system can be executed as limit orders
at last traded bid or ask price... it is not big deal
to adapt the existing order routing for after and pre
market... monitor the ECNs best bid and ask...
execute "market" ( only limits are allowed after
or pre market ) buy orders at best ask and
market sell orders at best bid. limit orders
are not affected... stops ( markets ) become
active limits.
WHY NOT DO THE RIGHT THING, TRAD???
WHY IS IT SO DIFFICULT TO DO???
WHY NOT DO IT ON A FULLY PROFESSIONAL
LEVEL???
ps. the only way to manage overnight risk now
is by hedging with futures that limits the overnight
gain potential and is not the proper solution.
if pre and after market data is included the systematic
risk can be easily managed per individual stock
provided there is access to pre and after market bar
data and limit order executions.
----- Original Message -----
From: "ed garib" <egarone@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Sunday, August 12, 2001 1:27 PM
Subject: premarket quotes
> Hi everyone.
>
> I am getting premarket data in TS2K.
>
> But there is a big problem. All premarket prices are
> overwritten by official closing prices from the day
> before. So i am getting one flat price line in TS
> charts before market opens.
> My real time feed is esignal and premarket prices are
> fine in esignal charts.
> If anyone knows a solution to this problem please
> share it.
> Any comments will be very appreciated.
>
> Thanks in advance
>
> Ed
>
>
>
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