[cowcool]

Statistically speaking,on average, how many minutes are required on market open before market (DJIA, NDQ, SPX, and all eminis) take clear direction of whther to fill or not to fill the gap ?

My personal experience (not statistically) is 10 mins, before first ten mins market is usually undecided of whether to go up or to go down but I am still new and learning . I might be wrong, your comments please.

Thx!

[Tams]

zero minutes.

the eminis trade around the clock.
RTH price movements are just a continuation of pre-market price movements.

[BlowFish]

Get a copy of excel (or open office). Go to yahoo finance or similar and download a bunch of historical data. Combine the two and see what you find. Ensign Software (which has a free demo) has a feature that provides rudimentary stats like when highs and lows of the day are made.

I wish someone would come up with an off the shelf/install and play 'data mining' package for financial time series data.

[Tams]

there is a software, the name escapes me right now...
it is an institutional grade software (ie expensive ~$10k++/yr),
that can do data mining and stat/prob study.

eg. it will interrogate the database (thousands of stocks and decades of prices)
and come up with reports like this:

CAL goes up X percentage at certain time of the year, 9 times out of past 11 yrs.

[BlowFish]

It would be quite doable with off the shelf 'generic' packages. I just think it would be great to have something that plugs into a data feed downloads data and lets you look at it in different ways. Preferably fairly simple and graphical though some sort of scripting would be good. I guess it would be a niche application. Something like matlab (or a free alternative) might be good. To be honest got many more pressing things to do. Dosen't help that I am in lazy mode right now. I also wonder whether it is a useful use of time....I am sure these are the sorts of edges that can get eroded quite quickly (and suddenly).

[jackj]

Tams,
I think you're thinking of Best Choice software. And I wouldn't say that RTH are simply an extension of overnight. Afterall, institutions are trading RTH, but aren't overnight, right? And when there's a gap, that means the overnight's having been buying/selling, and if the RTH is simply an extension, it would continue and wouldn't fill, or not likely. But the reality is it fills more often than not, so obviously there's a counter pressure to what the overnight's were doing, no?

[Tams]

"Overnight" is a long time to make generalized conclusions.

I would say...
RTH is often an extension of the trading action from 6:30am to 9:30am.

[jackj]

Thanks for your clarification re: overnight trading, as "often" is a bit different from "just a continuation", and the more recent hours may make it moreso. Nevertheless, I see that there's often a very decidedly abrupt change in action at 9:30, and not just in volatility/volume. Curious, would you not view gaps as anything special, re: being filled, either, since there really are none, since trading is 24 hours (23:45)?