I've used the NASDAQ opening cross on stocks and I was filled at the opening price well enough. NYSE Arca has an opening cross which includes ETF's also. Does anyone have any experience getting filled in the opening cross for an ETF? If so, what exchange/symbol? Were you filled on the opening price? If not, what kind of slip from the opening price did you experience. Any comment is appreciated, but real experience with ETF opening cross is of the greatest value. Thanks
I have been trading liquid ETF's at the opening (SPY,TLT,IEF,GLD, etc) through Interactive Brokers for 9 months. I do get the opening price that is later published at Yahoo or close to it (say around 70%). I have had no problems trading my system like that. So it is doable (contrary to what I read in the past about trading the open). Under IB,I use an OPG order with supposedly tries to get me filled as soon as the market opens. It does not (as far as I understand) participate in the Arca Auction. I also trade MOC (market on Close) getting into the Arca Auction 15 minutes before close. I trade liquid country ETFs and get filled 95% at the close or better. If you can trade MOC I would recommend it.
Thanks Sanz. Great info. Can I ask you, what kind of slip do you see on the open when you fail to get the opening price?
I would say 15% it's 2 to 5 cents but no more than 10 cents on the SPY. 10% of the time I get 1 or 2 cents better fill than the "Yahoo" opening. Mostly I get the opening. I even trade FXY (yen), which is not very liquid and still do ok in slippage. On the other hand if you trade ETF's like VNM ro EGPT you will get killed. I tried trading those MOC and stopped because of unreliable slippage. Of course you will have to try yourself to see how it works out with your broker.
Thanks again Sanz: I must say Sanz, your postings here are a cut above the Elite Trader average. The detail is very helpful. I'll give my ETF trading method a go and, as you point out, see for myself how IB does on the OPG orders with ETFs. I use a liquidity cut to keep me from trading the less liquid symbols like VNM, EGPT and even FXJ. I use something like a moving average of the volume*price. Still, good to know that liquidity levels like those of FXJ could work out OK for me. Thanks again