925 orders hit the ES within 0,15 milliseconds after the US open…
This Plot [Click+Pic] and the spread sheet below shows the [ES] Futures contract after the US Open with a total amount of “925” tradet contracts in the first “60 milliseconds”.
![[Click+Pic]](http://unbefugt.com/wp-content/uploads/2016/10/Nibble-Unbefugt-Quant-Algorithmic-Futures-Trading-Python.png){kind=link}
The opening Price moves [1 Tick] from 2146.25 up to 2146.50
and the first trade with 194 orders hit the Market within 0,15 milliseconds. Guys this algorithm which trades the open is really fast and would be probably send from a HFT trading company!
| ~ $ price | tradet contracts @ price |
|---|---|
| 2146.25 | 195 |
| 2146.25 | 4 |
| 2146.25 | 10 |
| 2146.25 | 1 |
| 2146.25 | 4 |
| 2146.25 | 3 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.25 | 1 |
| 2146.25 | 4 |
| 2146.25 | 1 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.25 | 3 |
| 2146.25 | 3 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 4 |
| 2146.25 | 5 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 3 |
| 2146.25 | 15 |
| 2146.25 | 1 |
| 2146.25 | 4 |
| 2146.25 | 10 |
| 2146.25 | 1 |
| 2146.25 | 9 |
| 2146.25 | 5 |
| 2146.25 | 22 |
| 2146.25 | 3 |
| 2146.25 | 2 |
| 2146.25 | 1 |
| 2146.25 | 4 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 2 |
| 2146.25 | 1 |
| 2146.25 | 4 |
| 2146.25 | 2 |
| 2146.25 | 1 |
| 2146.25 | 3 |
| 2146.25 | 1 |
| 2146.25 | 1 |
| 2146.25 | 8 |
| 2146.50 | 17 |
| 2146.50 | 1 |
| 2146.25 | 25 |
| 2146.25 | 36 |
| 2146.50 | 20 |
| 2146.50 | 1 |
| 2146.50 | 4 |
| 2146.50 | 3 |
| 2146.50 | 1 |
| 2146.50 | 4 |
| 2146.50 | 1 |
| 2146.50 | 16 |
| 2146.50 | 1 |
| 2146.50 | 4 |
| 2146.50 | 30 |
| 2146.50 | 3 |
| 2146.50 | 2 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.50 | 4 |
| 2146.50 | 2 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.50 | 49 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.50 | 20 |
| 2146.50 | 10 |
| 2146.50 | 5 |
| 2146.50 | 2 |
| 2146.50 | 5 |
| 2146.50 | 6 |
| 2146.50 | 1 |
| 2146.50 | 3 |
| 2146.50 | 3 |
| 2146.50 | 3 |
| 2146.50 | 3 |
| 2146.50 | 10 |
| 2146.50 | 3 |
| 2146.50 | 1 |
| 2146.50 | 3 |
| 2146.50 | 70 |
| 2146.50 | 30 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.50 | 1 |
| 2146.50 | 2 |
| 2146.50 | 1 |
| 2146.50 | 2 |
| 2146.50 | 1 |
| 2146.50 | 5 |
| 2146.50 | 3 |
| 2146.50 | 4 |
| 2146.50 | 2 |
| 2146.50 | 2 |
| 2146.50 | 22 |
| 2146.50 | 18 |
| 2146.50 | 5 |
| 2146.50 | 8 |
| 2146.50 | 11 |
| 2146.50 | 3 |
| 2146.50 | 3 |
| 2146.50 | 1 |
| 2146.50 | 10 |
| 2146.50 | 5 |
| 2146.50 | 1 |
| 2146.75 | 1 |
| 2146.75 | 4 |
| 2146.75 | 1 |
| 2146.50 | 10 |
| 2146.50 | 4 |
~abstract // datafeed cqg / print & computations realized with python 2.7.12 / matplotlib, numpy & pandas.