New White Paper: First Tick vs 9:30:05
We just published a new white paper in our Knowledge Base that covers a very common question. Read now: Which one should I use for Opening Quote: First Tick vs 9:30:05?
Your bots let you choose what counts as "the open": the first tick of the day, or the price at 9:30:05. It sounds like a formality. On a gap morning it is not. We pulled three years of second-level SPX data to measure exactly how much these two definitions disagree, and published the whole thing as a white paper.
The two numbers can be 44 points apart
April 7, 2025 is the clearest case in the sample. SPX printed its first value of the session at 9:30:01, then fell almost 40 points in the next single second as more component stocks opened. A bot reading the first tick saw the market gapped down 119 points. A bot reading 9:30:05 saw 164 points. Same morning, same index, same instant of decision.
An index is computed from its components, and until a component stock trades, the calculation carries it at yesterday's close. The first index value of the day is a blend of this morning's opens and yesterday's closes, and it resolves over the next few seconds. That is why the first tick systematically reads a smaller overnight gap: it did so on 73.8% of all mornings in the sample, and on 96.6% of the mornings that gapped 1% or more.
Only tradeSteward lets you choose, and test the choice
Both definitions are legitimate, and which one suits your strategy is a real decision. tradeSteward is the only autotrader that gives you both, and Backtick is the only place you can run the same position both ways and compare the results before committing real money to either.
Most historical market data comes as minute bars, and a 9:30 bar collapses every print from 9:30:00 to 9:30:59 into one number. The difference this white paper is about simply does not exist in that data. Backtick runs on second-level opening data, which is what makes the comparison possible at all.
What the paper covers
751 trading sessions, September 2023 through August 2026, measured from SPX time and sales. How far apart the two settings typically sit, how the gap between them scales with the overnight move, the second by second convergence of the index after the bell, and honest guidance on which setting to pick. It also documents something that was not written down anywhere before: the Opening Quote setting can change which strikes your bot selects, if any leg targets its strike in Points or Percent ITM/OTM from Open.
Read Opening Quote: First Tick vs 9:30:05, then check the setting on your gap-filtered bots.