I developed a system that buy stocks at the market open. It shows good results in a paper trading, but there is a catch. I use IB and I'm unable to capture the opening price. I use OPG market orders with Smart route and I place orders early (around 9:10 am), but almost every trade has a significant slippage. For example, today I bot 100 shares of CTL at 40.09 while official open price is 39.80. Is there any way to buy stocks exactly at the opening price? Thanks.
No. You have to remember that you're not the only one out there. Others that put in orders for the opening may be in front of you....or "Stock Ahead"
You should have gotten the opening print if you had a valid OPG order and routed to NYSE. Everyone gets the same price at the opening auction. Now, whether your trade is large enough to affect the opening auction is a different issue. Go look at your confirm and see where the order executed and when. Compare that with time and sales.
40.09 was the NYSE opening print. What you're referring to as the official open is probably the first print after 9:30. Since the first print is merely the first trade, there's no way to guarantee a buy or sell at that price.
As mentioned, when you send OPG, it's sent to the exchange where it's listed - in your case NYSE. The opening print you saw is on any one of the ECNs, it's not the "official" NYSE open. NYSE stocks don't print open at 9:30 sharp but the time varies and can be even as late as 9:40 ET.
When you send a mkt opg for a NY stock, you will get the open print from the specialist. As you can see there is an "open" print on the other exchanges too, but that is not where your order went.
You must be carefull with market orders at the the opening . Orders are filled based on the "time stamp" ie time there we entered on a first come firdt serve basis Example 3 sale orders AS @ 10 BS@ 11 CS@12 and 3 buy orders market AB placed at 9:000 BB@ 9:01 and CB@9:03 AB will be filled @ 10 BB @ 11 and CB@ 12 But if order CS is placed @1200 order CB will be filled @ 1200 Also 1200 will be the base price that future (from 9:03 onwards) market orders will be executed . So if someone places a sale market order any unfilled buy order will be filled @1200 So be very carefull with market orders at opening , especially in stocks where volumes are low and you cant see order depth . This may not apply to any stock market as some have some restrictions on order placing @ topic starter . Check the trade log
Anyone knows how OPG orders work with IB when it comes to ETFs? As far as I understand IB OPG's do not participate at the ARCA opening auction but rather IB tries to get a fill as close to the open price as possible. What is that "open" price? Is it auction determined? Time determined? How can IB get that price? From who? I trade with OPG and empirically I have 0-3 cents slippage (on liquid etfs and assuming the "official" opening price) but damn me if I understand what really happens at that 1-2 cent level.