Impact cost of stray ticks on market open

Zerodha
1

Hello , @siva-reddy

how much do stray ticks affect the price in liquid contracts - lets say NIFTY and BANKNIFTY F&O ?

Those contracts are extremely liquid , so will stray ticks still have large deviations from the current price or will it be limited to 2-3% of current price?

ALL ASSUMING TRADES ARE PLACED AT 9:15 OPEN.

Thank you.

2

There is no definitive answer to this, sometimes there can be 3 to 4 % away also. For options it can be much more, so it is recommended to place orders after seeing market depth at opening time.

3

Okay , understood . @siva-reddy

But are large deviations in stray ticks at least reflected in the price chats or is that gone undetected ?

4

Maybe missed on charts but will be detected on market depth OHLC. You can refer them.

5

What about for 1 min OHLC , is there any way to observe the deviations in that ? @siva-reddy

6

Can’t guarantee, usually at open it happens, we capture open but if it happens during the day it maybe missed on charts.

7

Yes yes , I am only talking about the Opening price stray ticks at 9:15 for NIFTY and BANK NIFTY F&O.

Do the stray ticks get captured in charts at 9:15am (1 min OHLC) ?
If not 100% , at least majority of it? @siva-reddy

8

Yes, we do.

9

Okay , so analysing the first 9:15 1 min candle in detail could give me a ball park figure of how the stray ticks deviate from price , right ? @siva-reddy

10

Yeah but not sure how do we know what should be the actual price, especially for options.

11

I mean , If at 9:15 Open we place a market order

and for the first 1 min candle at 9:15 the OHLC is 100 , 105 , 95 , 99.

Given Zerodha’s efficient charting software ,
could we say the range at which our market order will executed will roughly be between 95 and 105???

@siva

12

Not possible for now but will check on this.

13

Please check and let me know ,
I’m doing a backtest for a couple of strategies and entry at open is preferred. So just wanted to gauge what would be the impact cost.

14

This may take more time, no ETA.

15

No issues , I just want a rough estimate of the range in which a market order at open could be executed ,

as I mentioned earlier , If the High - 105 and low - 95 is for the first minute of market open , will a market order on open be executed at a price that lies between 105 and 95?

Obviously It is difficult to give concrete answers in the stock market , but I’m just working on estimations and approximations.