2007issue C041-2
Fair value, open prints, and sweep fades
Index futures can be compared with cash after a fair-value adjustment immediately before the equity open to estimate the expected opening gap. Automated opening-print lists stay in revision, and a sweep is faded when the book briefly goes one-by-one. Both windows ask whether an order should be live.
- Immediately before the equity open, index futures can be compared with cash after a fair-value adjustment to estimate the expected opening gap.
- Beta changes the opening envelope so lower-volatility names are not skipped, and automated opening-print lists are revised by adding or dropping names and reviewing news.
- When a sweep hits the book, standing or end-of-sweep orders fade that flow rather than join it.
- Tape reading is described as too multi-factor to backtest from price, volume, and time alone.
Two execution windows
Immediately before the equity open, index futures can be compared with cash after a fair-value adjustment. Fair value is the cash index level implied by futures once the cash-futures basis is removed, and that comparison is used to estimate the expected opening gap.
Later, a sweep can take displayed size across prices until the book briefly closes. When that flow hits, standing or end-of-sweep orders are described as fading it rather than joining it.
Envelope, beta, and the print list
An opening envelope is a percentage band around a planned open-print price. It can be widened or tightened so a name still qualifies for a fill.
Beta is used to change that envelope percentage so lower-volatility names are not skipped. The archive treats the beta adjustment as a secondary fill-rate aid that is refreshed about once a month.
Automated opening-print lists are revised often by adding or dropping names and reviewing news. They are not left as a fixed overnight roster.
What tape reading includes
Tape reading is described as too multi-factor to backtest from price, volume, and time alone. The same live read takes in fair-value premium or discount, peer and sector context, related commodity prices, book depth, and futures on a self-calibrating tick chart.
How a sweep is recognized and faded
A sweep can be recognized when the book briefly closes and displayed size goes one-by-one, sometimes with a quote-color change or a slow-bid and slow-ask column.
The fade is the resting or end-of-sweep contra order that supplies liquidity into the take rather than chasing it.
Children names, alerts, and carry
Alert programs can trigger on a last-print move of five cents. Newer scalpers keep working bids and offers in their children names, the names they trade every day, so those bids and offers are already working when a sweep prints.
Commission cuts toward zero are expected to increase retail participation. Many brokers do not pay interest on short stock, which changes the carry of a long-versus-short hedge. One desk example cites about 5 percent paid on short-sale balances. Whether a broker pays that short-interest credit is part of the cost of keeping the hedge on.
All readings on this track · 7 readings
- 2000The listed cash open as a three-clock execution problem
- 2005First-leg scalping with matched stops
- 2006Holding period as a system constraint
- 2007Fair value, open prints, and sweep fades
- 2010Fixed-share fade scalping as emotion control
- 2012Forex and currency futures: pip-spread, deposit, and scalping size
- 2018Matching tape tempo on a closed yen-cross candle ticket