{"id":2021351,"date":"2015-05-01T18:02:53","date_gmt":"2015-05-01T12:32:53","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2021351"},"modified":"2015-05-01T18:02:53","modified_gmt":"2015-05-01T12:32:53","slug":"gaps-and-the-pre-open-call-auction","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2015\/05\/01\/gaps-and-the-pre-open-call-auction\/","title":{"rendered":"Gaps and the Pre-Open Call Auction"},"content":{"rendered":"<h3>tl;dr<\/h3>\n<p>You should not treat opening prices before and after October 18, 2010 the same. <\/p>\n<h3>Call Auction in the pre-open session<\/h3>\n<p>If you don&#8217;t know how the pre-open session works, here&#8217;s a good explainer from BSE:<\/p>\n<p><iframe loading=\"lazy\" width=\"1020\" height=\"765\" src=\"https:\/\/www.youtube.com\/embed\/QrSRO1ySnHc?feature=oembed\" frameborder=\"0\" allowfullscreen><\/iframe><\/p>\n<p>When you run back-tests that use the opening price, this change will most likely trip you up.<\/p>\n<h3>Before and after<\/h3>\n<p>Nifty opening gaps since 2000:<\/p>\n<p><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.gap_.png\" alt=\"CNX NIFTY.gap\" width=\"1500\" height=\"800\" class=\"alignnone size-full wp-image-2021361\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.gap_.png 1500w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.gap_-300x160.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.gap_-1024x546.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.gap_-500x267.png 500w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.gap_-900x480.png 900w\" sizes=\"auto, (max-width: 1500px) 100vw, 1500px\" \/><\/p>\n<p>Notice the shift in the median before and after the auction was introduced (all figures in %):<br \/>\n<img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/gap-summary.png\" alt=\"gap summary\" width=\"261\" height=\"151\" class=\"alignnone size-full wp-image-2021371\" \/><\/p>\n<p><strong>Before:<\/strong><br \/>\n<img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.2.png\" alt=\"CNX NIFTY.hist.2\" width=\"1100\" height=\"800\" class=\"alignnone size-full wp-image-2021381\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.2.png 1100w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.2-300x218.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.2-1024x745.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.2-413x300.png 413w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.2-900x655.png 900w\" sizes=\"auto, (max-width: 1100px) 100vw, 1100px\" \/><\/p>\n<p><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.3.png\" alt=\"CNX NIFTY.hist.3\" width=\"1100\" height=\"800\" class=\"alignnone size-full wp-image-2021411\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.3.png 1100w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.3-300x218.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.3-1024x745.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.3-413x300.png 413w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.3-900x655.png 900w\" sizes=\"auto, (max-width: 1100px) 100vw, 1100px\" \/><\/p>\n<p><strong>After:<\/strong><\/p>\n<p><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.4.png\" alt=\"CNX NIFTY.hist.4\" width=\"1100\" height=\"800\" class=\"alignnone size-full wp-image-2021401\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.4.png 1100w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.4-300x218.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.4-1024x745.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.4-413x300.png 413w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2015\/05\/CNX-NIFTY.hist_.4-900x655.png 900w\" sizes=\"auto, (max-width: 1100px) 100vw, 1100px\" \/><\/p>\n<h3>Conclusion<\/h3>\n<p>One way to make the opening prices comparable is to take tick-level data and compute a synthetic opening price yourself, just like how the closing price in computed. And you can use this synthetic open across your entire data set.<\/p>\n<p>Otherwise, you will have to take you back-test results with a healthy dose of skepticism and make sure that there is enough room in your analysis to account for this.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>tl;dr You should not treat opening prices before and after October 18, 2010 the same. Call Auction in the pre-open session If you don&#8217;t know how the pre-open session works, here&#8217;s a good explainer from BSE: When you run back-tests that use the opening price, this change will most likely trip you up. Before and &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[2761],"class_list":["post-2021351","post","type-post","status-publish","format-standard","hentry","category-investing-insight","category-your-money","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2021351","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2021351"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2021351\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2021351"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2021351"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2021351"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}