So today I tried submitting my limit orders with ARCA as route, allow fill outside RTH and good after 9:28:30 (because i'm not sure if ARCA accepts orders after 9:29 to participate in the opening cross) Orders went live/green as expected at 9:28:30, but I got one fill, obviously, before market open : short GM @ 30.39 (limit was 30.18), ARCA "opening" price was 30.37. So I got lucky here to get a better fill. With this method, I do not get the ARCA "opening" price. So I assume it's not possible, at least with IB. By the way, you can check here today for GM opening price at ARCA (check daily price in tools and single security): http://datasvr.tradearca.com/arcadataserver/Auction.php ARCA GM opening price : 30.37 NYSE GM opening price was 30.31
I am having the same issues -- for some stocks, I do not get the official open when using "Smart Primary" at IB. I notice that IB routes to NYSE, ARCA, ISLAND, AMEX for my opening and closing auction orders. Do you know how I can manually check which exchange has the greatest volume? For example, I can see the volume of Nasdaq here: http://www.nasdaqtrader.com/files/crosses/CrossStats20160201.txt There are lots of stocks with "Listing Market = N" and yet have Nasdaq auctions. The volume is low of course. BTW, how do you get the Nasdaq auction -- is that the same as ISLAND? Ideally, I can find the opening volumes on the other 3 exchanges, and then send to the best one, or perhaps split up the order proportionally.
They probably mean Nasdaq if they're referring to a current trading venue as "Island". Instinet bought Island, then Nasdaq bought the Instinet ECN business years ago and then (essentially) switched over to using the Island technology to run all their exchanges. So, if you see "Island" referring to a trading venue as of 2016, it's probably just a "legacy" reference to what is now the Nasdaq Stock Exchange.
Thanks! I put a OPG LIMIT to short TWTR at the open today, and I was not filled, even though the official open crossed my limit. I am still struggling to understand it!
Make sure to check "Pre-Open Re-route" in TWS. (Global Configuration > Configuration > SmartRouting) "This allows you to route orders to major exchanges three minutes before the open. For orders submitted before the open, checking this box ensures your orders are routed prior to the open. This directive only applies to stocks listed on a major exchange, and cannot be used if the Ignore Opening Auction order attribute is set." For Nasdaq, OPG orders should be submitted before 9:28 EST
I don't see the "Pre-Open Re-route" box under Smart Routing. It just lets me choose SMART Multipurpose, SMART Max Rebate, etc...