is there such kind of order type?

I would like to submit order type that participates exchange open cross like OPG orders, if the order is not filled in opening cross, it will convert to a regular limit order.

 

You can try either MTL/AUC or MTL/OPG orders:


See:
https://interactivebrokers.github.io/tws-api/basic_orders.html


https://www.interactivebrokers.com/en/index.php?f=578


Market-to-Limit Orders:
https://www.interactivebrokers.com/en/index.php?f=597

 

Thank you

 

Should be noted that this order exists only for a few exchanges. US exchanges for example, you need to create your own algo or use a third party algo, I believe Jefferies (JEFFALGO) had something like that.

 

Btw, this answer seems to imply that standard limit orders may be included in the opening auction (?)
I didn’t fully understand it:
https://www.quora.com/Are-pre-marke...-to-LOO-orders-for-example-splitting-quantity

 

this is from nasdaq website:

At 9:30 a.m. ET*, the Opening Cross is initiated and the opening book and the Nasdaq continuous book are brought together to create a single Nasdaq Opening Cross

 

for nyse open cross, this is from its website:

The Core Open Auction serves as a bridge between the Early Trading Session and the Core Trading Session. The execution of the Core Open Auction is the first trade of the Core Trading Session. Limit Orders eligible for the Early Trading Session only will be cancelled back after the Core Open Auction.

Core Trading Session eligible Limit Orders, Market Orders and Auction-Only Orders will participate in the Core Open Auction. Beginning at 9:29 a.m. ET, requests to cancel or cancel and replace Market on Open (MOO) and Limit on Open (LOO) Orders will be rejected. Beginning five seconds before the Core Open Auction, new MOO and LOO Orders will be rejected and new Limit Orders (that are not eligible to trade in the Early Trading Session) and Market Orders will be accepted, but will be eligible to participate in the Core Open Auction only to offset the imbalance that is remaining after all orders entered before that time period are allocated in the Core Open Auction.