The opening auction is data, and I was ignoring it
I had been treating everything before the bell as noise. Then it occurred to me that the opening auction publishes an indicative price and a matched quantity, updating as orders arrive — which is a read on the day's interest that I was throwing away.
We have the same thing and I had never looked at it. The opening auction publishes indicative prices and imbalance information before it prints. That's a real signal about how much the market wants this name today, available before anyone can trade on it.
I haven't built a strategy on it yet. What I've done so far is add it to my morning read: an auction with meaningful size behind it means something different from a name that opens on nothing. Two weeks in, it's already changed which names I let through my filter.
Posting it as a "why did nobody tell me" rather than a technique.