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eusdaiki

Registered: Sep 2005
Posts: 1696

07-01-12 02:50 AM

It depends on the symbol's total interest and imbalance.
If you have a 2 mm share imbalance & 10mm total interest then you can buy 100k shares with no problem.
On the other hand if you have a 10k imbalance and 200k total interest. Then buying 100k shares would have significant impact in price.

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Traveler

Registered: Apr 2003
Posts: 774

07-01-12 03:10 AM

Where can you see the opening indications? I don't think IB has them, or they went away.

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eusdaiki

Registered: Sep 2005
Posts: 1696

07-01-12 03:14 AM

Quote from Traveler:

Where can you see the opening indications? I don't think IB has them, or they went away.

Nasdaq n nyse each have an imbalance feed for the auction. Not sure if Ib uses it

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privador81

Registered: Jun 2008
Posts: 47

07-09-12 06:19 PM

The guy is asking how much size it takes to have an appreciable impact on the open price for a given expected open volume, not whether everyone gets the same price at the open...

you are correct

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Traveler

Registered: Apr 2003
Posts: 774

07-09-12 08:40 PM

Quote from eusdaiki:

Nasdaq n nyse each have an imbalance feed for the auction. Not sure if Ib uses it

They have a field for "imbalance" you can call up on TWS, but I've never seen it changing.

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eusdaiki

Registered: Sep 2005
Posts: 1696

07-10-12 04:38 AM

Quote from Traveler:

They have a field for "imbalance" you can call up on TWS, but I've never seen it changing.

the nasdaq and nyse ones change on a periodical basis, not real time.
and they change only in the last few minutes before the auction.

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