Registered: Jun 2008
Posts: 47

I have question about fills in the open.
I have noticed that every open starts at some point for example @12.14
My question is next. Lets say i put MSFT buy order @300.00 100 shares
But the fill is somewhere 30.50 not 300....
If i put buy order 10000 shares. Is there will be same filling @30.50
Lets say MSFT open auction block is about 200000shares
How many shares i have to buy, which start to alter significately 30.50 opening price? i

My question is based on phenomena, that sometimes i am intrested in buyng at the open. But i dont know opening prize. Therefore i have to put my order ridiciously high to ensure i get some fills. But i assume, that i get fills lower prize due to lower size ratio to the opening block?
My 100 or 1000 shares dont change opening prize?

Registered: Apr 2011
Posts: 1056

I can only tell you the process on the NYSE and NASDAQ. Orders entered to these exchanges prior to the opening, enter a sort of auction process. EVERYONE entitled to the opening price will receive the same price. The size of your order does not change that. 10 shares or 10M shares get the same price. The larger the imbalance of the orders at each price level determines the opening price. So it's possible a large order on one side of the market will change the price for the open for everyone.

The Market on Close and Limit on Close orders work the same way.

Bob

Registered: Apr 2009
Posts: 92

I have been thinking about this.

To answer the question: as with any auction, your decision will be based on some kind of trade-off between the probability that the order will get filled and the price. If you absolutely want to get filled you enter a market order or a limit order which is almost guaranteed to fill. You can also enter a MOO order which will fill at the official opening price.

If you go through a retail broker your orders will not change the opening price, because the opening auction is not open for retail orders. Market makers determine the opening. Sometimes there will not be an opening cross and the first trade in the continuous auction (regular trading) will determine the open.


Reading material:

http://www.nyse.com/pdfs/fact_sheet_nyse_open_close.pdf

http://www.nasdaqtrader.com/content...nclose_faqs.pdf

http://www.itg.com/news_events/pape...ing_Auction.pdf

Registered: Apr 2011
Posts: 1056

---

Quote from macrotrader:

I have been thinking about this.

If you go through a retail broker your orders will not change the opening price]

---

Registered: Mar 2012
Posts: 19

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...

Registered: Apr 2003
Posts: 774

It depends. Since it's an auction, half of the opening print volume bought and the other half sold. I'd look at your trade volume as a % of the average volume of opening prints for the stock.

For something like MSFT it's not going to matter, but for many small cap stocks you're not going to get a good fill that way.

Advantage Futures

Futures Brokerage & Clearing

AMP Global Clearing

Futures and FX Trading

Bright Trading

Professional Equities Trading

CTS

Futures Trading Software

DaytradingBias.com

Professional Trading Analytics

ECHOtrade

Professional Trading Firm

eSignal

Trading Software Provider

FXCM

Forex Trading Services

Global Futures

Futures, Options & FX Trading

Interactive Brokers

Pro Gateway to World Markets

JC Trading Group

Direct Access Trading

MB Trading

Direct Access Trading

MultiCharts

Trading Software Provider

NinjaTrader

Trading Software Provider

OANDA

Currency Trading

optionshouse

Option Trading & Education

Rithmic

Futures Trade Execution Platform

SpeedTrader

Direct Access Trading

SpreadProfessor

Spread Trading Instruction

thinkorswim by TD Ameritrade

Direct Access Trading

TradersStudio

System Building & Backtesting

Trading Technologies

Trading Software Provider

Trend Following

Trading Systems Provider