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Pricing

Research method

Opening auction strategy

Opening auction strategy is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.

Output
Signal
Input
Rule inputs, market state and execution constraints
Horizon
The system holding period
Best use
Make entry, exit and abstention rules testable as one procedure.

Registry evidence level: backtested. This is a navigation record, not a performance claim.

  • Input: Rule inputs, market state and execution constraints.
  • Output: signal.
  • Use boundary: Make entry, exit and abstention rules testable as one procedure.
The graph5

How the method is built, and where it has been read

Depends on

Read in the archive24 of 28 readings

2000The listed cash open as a three-clock execution problemAuction and volume2002Opening-only orders, posted stops, and paper fills as first-class rulesOrder types and routing2002Opening auction grids and shakeout-resistant exitsEntry and exit rules2003Opening auction indications, premium and print sizeAuction and volume2003Opening-only limits and priced exitsOrder types and routing2003Listed open order routing and the short-sale tapeOrder types and routing2003Listed auction accommodation and open-book executionOrder types and routing2003Opening indication, one-sided envelope, and the sector tape checkAuction and volume2003Opening auction fills and the post-print tapeAuction and volume2004Opening auction envelopes and crutch pairsAuction and volume2004Specialist prints, opening exits and live tape filtersOrder types and routing2004Constructing the cash open from futures fair valueIntermarket and spreads2004Reading auction signals to choose an open, a close, or a VWAP pathAuction and volume2005Pre-open indications, limit fills, and morning levelsOrder types and routing2005Pair-bias bands and opening-print priorityIntermarket and spreads2006Constructing the single-price open from overnight flowAuction and volume2006Opening and close auctions versus limit-laddersAuction and volume2006A leftover clock that licenses offset-only market-at-closeAuction and volume2007Carry-adjusted index premium for auction executionAuction and volume2008A case study of checklist-driven opening-auction and pairs workDecision process2008Close imbalance prints as an exit filterAuction and volume2008Opening auction, market making, and arbitrage as a capital businessAuction and volume2008Opening gap limits and close imbalance ordersAuction and volume2010Same-side opening auctions and pair use of capitalAuction and volume
This registry entry describes a research method. It is not investment advice and does not make a performance claim.