Futures Execution: MOO & MOC Orders

Discussion in 'Order Execution' started by CPTrader, Jan 22, 2010.

  1. What is the best way to execute futures orders MOO & MOC for electronic markets with minimal impact.

    Any ideas for manual or algorithmic solutions for MOO & MOC execution in the electronic makrets will be most appreciated.

    Thank you.
  2. Any ideas?
  3. MGJ


    Who are your algo vendors? Why don't you like their recommendations (and instead seek other recommendations, here)?

    What is wrong with VWAP and/or TWAP? Why do you prefer MOO and MOC?
  4. I'm not using any algo vendors at present...just basic front-end platforms.

    Do you think TWAP or VWAP are preferred to MOO & MOC?

    What would you recommend if one wishes to execute at a price that most approximates the opening price and the closing price with minimal price impact?

  5. Let me rephrase/add to my initial question:

    How can I best execute volume equivalent to 1 - 3% of ADV in such a way that the fill price approximates the Globex /Eurex "Open" price or the Globex/Eurex "Close" price?

    Guidance as to trade execution mechanics: order type, order time, use of algos, etc will be very helpful and appreciated.

    Many Thanks.
  6. minmike


    adv=average daily volume?

    If so ES trades ~1-1.5 million shares.

    I know of no way to trade 10,000-45,000 without really moving the market.

    Not sure that is something that can be expected to be possible.