MOO / MOC Orders for futures

Discussion in 'Order Execution' started by DBSpider, Jan 29, 2024.

  1. DBSpider

    DBSpider

    So i have a daily strategy for some contracts on CME futures.
    I process data and come up with a forecast for a long or short position that projects returns from basically the stock market open (9:30 ET) to the close (16:00 ET).

    So i basically like to enter the position in the futures market at the open and close it again at the close. I don't hold overnight.

    What is the best way to execute this strategy? At the moment i stare at the clock and when it hits 9:30:00 i click the buy/sell button and i am doing the same at the close.
    I want to get as close as to the daily open and close/settlement prices as possible.

    I searched around but is there no Market-On-Open / Market-On-Close on CME as far as i can see?

    I found TACO (Trade at Cash Open) and BTIC (Basis Trade at Index Close) on CME website.
    The problem is, it only exists for very few of the biggest contracts, ES, NQ and so on.
    And the second thing is: It is its own contract? So if i use TACO to open a contract i cant close it with BTIC because it is another contract?

    So... am i stuck staring at the clock or write a script that basically just smashes the button at that time, fingers crossed i get my execution price as close as possible to the official open and close?

    How do i get my trades as close as possible to the official open and close prices on CME futures. Thanks:)
     
  2. Robert Morse

    Robert Morse Sponsor

    Hi DBSpider- We can't offer Futures trading to those in the EU. What you need is a conditional order with time condition to enter the position at 9:30est, then MOC to close- which, I'm not sure if that targets 5pm or 4pm est. I sent an email to CQG to see if they offer that order type. We can only accommodate this with SPY and other ETFs. Those are simple. MOO and then MOC. I will revert back after I hear from CQG. - Bob
     
  3. Robert Morse

    Robert Morse Sponsor

    CQG said, "You can place multiple market orders at a time using CQG Desktop as below."

    upload_2024-1-29_19-13-47.png
     
  4. DBSpider

    DBSpider

    Hey, thanks for your answer. Unfortunately i am in the EU and i am using Interactive brokers.

    At the moment i am trying to just time the entry and exit with a simple script that tries to enter at 9:29:59 and exits at 15:59:59 (some delay because TWS is a bit slow and i am in europe sending the order)... but i am still away from the "official" open and close prices for the contract, which is a bit irritating. But maybe it is not that bad.

    Was just wondering if there is a known way proffessionals enter and exit daily positions in futures similar the crosses in stock markets (MOO and MOC orders).
    But apparently there isn't really.