How to gurantee the execution of order at close without bad slippage?

Discussion in 'Automated Trading' started by mizhael, May 12, 2010.

  1. Hi all,

    Let's say I want to do automated trading and the trading strategy requires me to submit order that hits market close EOD everyday.

    Let's say it's some sort of relatively illiquid futures.

    Let's say I have quite a large number contracts that need to be bought at close, and the market is sudden-death, that's to say, the closing period is only about 30 seconds, after that the market is immediately closed.

    What's the best way to guarantee the execution of that large number of contracts with out too bad price/slippage?

    I was originally thinking of some market order, but

    (1) may not get fully filled;
    (2) may drive the market and get very bad fills.

    Any thoughts?

    Thanks a lot!
     
  2. limit order

    or limit on close order to get the closing print
     
  3. How does one know the closing print ahead of time?
     
  4. One is the Specialist.
     
  5. Limit order has the danger of not getting filled.

    LOC or MOC may not be offered by the trading platform company for certain products.

    I just need to hit the close price and the orders absolutely need to be filled - but I want to do that smartly without too bad slippage.

    How to do that smartly?

    Can I use market orders to do VWAP or TWAP myself?
     
  6. In my trading experience with the pros, they emphasized the importance of very high speed internet connection and a fast online stock broker internet trunkline.

    It is because when you do some orders, it might not get filled accurately because it takes a long time to reach that order from your computer (doing the automatic trades) to the broker system then to the stock exchange.

    The following factors are the possible causes of bad fills:
    1.) Very slow internet connection / Congested network.
    2.) High latency connection (the farther you are from your broker and stock exchange, the higher the lag that can cause you bad fills).
    3.) Slow broker system computer and network. This is because they have not upgraded their system or use a slow internet connection also.

    Other than what is mentioned above, you can cleverly use any other techniques like limit order which might "guarantees" a correct fill but as you say might not be offered with some trading platform company.

    Sources: <a href="http://www.stock-trading.me/">Online stock trading tips</a>
     
  7. I just want to hit the close prices for a certain number of contracts.

    That's all I need. Guaranteed fills with not-too-bad prices at close...

    Any thoughts? Thx
     
  8. You have two options.

    Trade something liquid.
    Or exit 5-10 minutes before close.

    MoC is another gray area where specialist make huge money everyday. I'm not sure why do we get huge candles at close... At NYSE MoC are entered minimum 15 min prior to close so they have whole in-out orders.? Why can't they execute all of them at a common price (controlled by demand supply inventory rule).

    Bye the way, get your mind checked by good doctor if you still think this is demand supply market...
     
  9. How specialist make huge money everyday using MOC?
     
  10. By manipulating prices in their favor.
     
    #10     May 15, 2010