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HI Bilo.
I'm sorry for a late response. I was way for a few
days.
First: thank You for a long response.
So You are saying it's impossible to get premarket
quotes into TS2k.
Like I wrote in previous email; I have changed
session1
start time to 8:00 for NASDAQ in exchange directory
setup window, and I have changed open time in edit
symbol window to 8:00 for all NASDAQ stocks in my
global server.
Before 9:30 I am getting volumes right in a chart, but
instead of candle bars, closing price of the day
before
is displayed. Actually closing price of the day before
is overriding the actual premarket prices, and I
don't know how to fix this problem.
I guess nobody in omega-list is using premarket
prices because nobody responded with solution.
Thanks again
Ed
--- Bilo Selhi <citadel@xxxxxxxxxxxx> wrote:
>
> 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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