Hi all! i write a little program, based on IB API to enter into multiple positions right at market open, if certain criteria meet. now-one of the exit rules-exit on market close. i set my app to buy on 15:59:30. sometimes it works and i did get market close price, but many times-price move way above\below my price right at 16:00. today example-i short BRKS and cover at 19.41, but at 16:00-price drop to 19.25 and closing price is 19:25. that about 1% better! here is my question-how i can get a better price or when possibility to buy at bid greater than buying at ask? or-how to buy at bid and sell at ask? is market depth feature can help me some how? Thank you!
Maybe there was a sell imbalance. If you want to get those prices you have to enter your order MOC no later than 3:40pm.
i agree 100% and have no problem to place automated MOC order, but IB say-native MOC-only on NYSE. on nasdaq-we will simulate MOC order to get price as close as possible to closing price. another words- they execute order to buy at ask on 16:59:30. i did check that already. Thank you!