The first half hour after the Sunday open is not tradable data

[Amanhasnoname]

Sunday evening charts look like any other session, yet the market microstructure is closer to a different animal. Liquidity providers are still switching on, quotes can be sparse, and spreads on majors may be several times normal. Early prices can also drift as banks test the book, and a weekend gap rarely fills in a straight line.

Two problems follow for anyone who trades or tests then. First, entries are filled at poor prices, and a tight-stop scalp is likely to lose most of its edge to the spread. Second, statistics get polluted. Tick volume in those minutes is low and irregular, spreads are unusual, and an indicator calibrated on a clean weekday sample will behave oddly.

A pragmatic approach is to exclude the first 30 to 60 minutes after the open from both live trading and backtests, then compare the results. If the equity curve looks better with those hours removed, the edge was never really there. If it looks the same, the filter costs nothing.

Also watch the gap itself: a gap against a position held over the weekend slips through stops at the first available price, not the stop price.

How long after the open does your feed take to show a normal spread on your main pair?