Broker offering (CASH EQUITIES) STOP [market or limit] ON CLOSE order

Discussion in 'Order Execution' started by mokwit, Feb 9, 2018.

  1. mokwit


    IB does not offer this order type and IB conditional order does not have MOC as a selectable order type for conditional order (if it did that would be a workable alternative).

    Have been requesting for years that they have this order type along with a creation of my own (maybe) The 'STOP relative order' where on triggering of stop price it places an IB relative order on the bid

    Tradestation seems not to offer MOC order at all so can't even think how I could use Easylanguage to code this. In pseudocode: "IF Price > XX and TICKER = XXX Then MOC XXX shares" = Very clumsy would have to load a strategy for each individual ticker?
  2. d08


    IB does not offer it because no exchange offers it.
    MOC orders are sent to the exchanges, they are not simulated by IB. Therefore they cannot provide something like that because there are time limits when MOCs can be sent. What you're suggesting is something that participates in the auction as a stop order, can't be done (unless exchanges create a new order type).

    Tradestation is no different, you cannot submit closing auction orders at the last second unless you're reducing imbalance.

    Best you can do is a conditional order at 15:59:59 (or so) which is essentially just a stop order. IB will use ceiling if you don't use limit, so you can miss executions. Stop limit is your best choice.
    comagnum likes this.
  3. mokwit


    Agree not native - I know it was aFUTURES floor order and not sure if even elkectronic futures offer it. Not sure if it is a cash equities order type. Otherwise, not sure I agree. Note it does not participate in the end auction as a stop order - if the stop is triggered a MOC is sent just as if I send a MOC order before market open. I can place a MOC order before market opens and IB executes it on the close by whatever mechanism - so not sure why they can't if they want to create an order that sends a MOC order in the same way when a stop level is breached.

    Will look into setting conditional order at 15:59:59 (or so) as alternative to MOC - assumes IB conditional order can accept order placed as such after triggered by condition (in this case price)

    Note very few order types are native - there was a time when IB offered sorts of order types when in fact at that time only native order for NASDAQ was limit.
  4. d08


    What if the stop level is reached at 15:59:30 and on the wrong side of imbalance? Your order would be rejected despite the close being above stop. IB doesn't want that liability (obviously).

    Auction orders for open and close for NQ/NY are native, not simulated.

    Between 3:59 and 4:00 p.m. ET (the freeze period),
    MOC and LOC orders cannot be canceled.

    LOC and MOC orders that decrease the imbalance will be
    accepted for Auction processing during the freeze. LOC and
    MOC orders that increase the imbalance or would otherwise
    flip the imbalance will not be accepted (e.g. if there is a buy
    imbalance, no buy LOC or MOC orders will be accepted)
  5. mokwit


    Ok what I meant is the sending of a MOC order by IB is simulated i.e I put in my order before market opens and IB sends it at the correct time stipulated by the exchange where it is executed as a MOC by the exchange.

    If stop is hit Between 3:59 and 4:00 p.m then I wake up to a rejected not executed order.

    Just checked can't make it a condition of a STOP or STOP limit that it executes at a certain time e.g. Close or 15:59:59 more accomadatively say 15.55 or 15.58.59some such (If I could still an issue maybe unless a time just before the time for MOC orders being accepted if that is required but this is now not a MOC order it is a stop order generated Market or Limit being executed in the MOC window )
  6. d08


    IB only holds MOCs because they're not accepted before the session opens I believe. That's different from a simulated order.

    Most likely you have to make a conditional limit order, so SPY > 9000 and Time > 15:59:58 buy with limit at 10000. An order similar to this works, I use it.
  7. mokwit


    Yes - after reflection I think I can set a STOP order that is presented to the market say between 15:59:56 - 15:59:58 or just at 15:59:58. Regardless of whether the stock has traded above the stop price previously in the session the order will only execute if it is trading above the stop price during the presentation window - this may even be a better way of doing it than an actual STOP ON CLOSE order. Likely you were alluding to something like that previously as confirmed per your last post above. Many thanks.

    P.S I believe actual acceptance by the exchange of MOC is only within something like the last 20 minutes - you are right IB holds it until then having maybe accepted it earlier than that window, even before open
    d08 likes this.
  8. d08


    Not really. I'm not sure about the exact time but 30 minutes after open it's comfortably sitting at the native exchange. The cutoff for certain MOC transactions (cancel) is 10/15 minutes before close though, depending on the market.