It's common for a trading strategy to be backtested with an opening or closing price, so in order to follow such a strategy exactly as it was tested, you need to get the exact opening or closing price, which you can only do with MOO, and MOC orders.
Summary of NYSE rules for entering/canceling/modifying market-on-close (MOC) * All MOC orders must be received at NYSE (and at AMEX) by 15:40 ET, unless entered to offset a published imbalance. * New York Stock Exchange (NYSE) rules also prohibit the cancellation or reduction in size of any market-on-close (MOC) order after 15:40 ET. Summary of Nasdaq rules for entering/canceling/modifying market-on-close (MOC) * All MOC orders must be received at Island by 15:50:00 EST and cannot be cancelled after 15:50 EST. Do I need to subscribe to any particular datafeed with IB to be able to play the imbalance? Am I handicapped in any way playing MOC with IB compared, let's say, to Bright traders?
I am not aware of not getting the MOC price. The only challenge for me is deciding that I want out 20 minutes before close and then not having a stop in place during that time. It has happened that I get stopped out and then the MOC executes. For this reason I don't really like it but I still think it's better than a market at 3:59.