Limiting Market On Open slippage

Discussion in 'Order Execution' started by markd01, Nov 10, 2017.

  1. markd01

    markd01

    Instead of existing your stock positions with Market On Open, would it be preferrable to to have a limit order that's say 2% lower than yesterday's close (long position)?

    Would that limit order take part in the opening auction? TD Ameritrade has no dedicated MOO or LOO order type, while Interactive Brokers has time-in-force of OPG (opening). I would like my limit order to stay active throughout the whole day, from 9:28am (including opening auction) to 4:00pm. What are the odds of getting a worse fill with Limit order at 98% of yesterday's close vs plain Market on Open? Any idea how this would play out at foreign exchanges - Tokyo, Hong Kong, Frankfurt, Stockholm, when trading through IB?

    I also do limit my position to way under 1% of the daily dollar averaged volume. I understand that if the stock gaps down say 3% and keeps on going down I will be stuck in the position. I just want to limit maximum opening slippage to 2%.
     
    Last edited: Nov 10, 2017
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  2. 777

    777

    That order would not take place in the opening auction.
     
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  3. zdreg

    zdreg

     
  4. %%
    Dont know about Stockholm,markD; but cant think of a worse time to exit, mostly. Don Bright Daytrading co liked the open, NYSE; but not me-it [ USA stocks] likely to reverse @ 8:55/+ CST anyway. NOT a prediction.:cool:
     
  5. d08

    d08

    Some brokers do convert orders received before 9:28 into the opening auction. Opening order slippage depends on the volume and 1% of total daily for it is way too much.

    Ameritrade sounds like complete garbage though. No MOO/LOO in 2017, what a joke.
     
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  6. 777

    777

    You should lose no matter what your backtested daytrading strategy is at 1%.
     
    Last edited: Nov 11, 2017
  7. d08

    d08

    Certain symbols do abnormally big volumes at auctions, those could possible handle it. Opening auction volumes also depend on the gap size as the bigger the gap, the more volume it will have in the auction. Closing auction volumes depend on the the day's volatility compared to the average volatility.
     
    777 likes this.
  8. markd01

    markd01

    What's the biggest position as a percentage of the daily liquidity would you feel safe with to use a Market On Open order with? 0.3%.. less?
     
  9. d08

    d08

    Apologies, I didn't notice the "way under" part. For regular movements it would be more like 0.10-0.15%. As the gap/volatility increases, then up to 0.5%.
     
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  10. markd01

    markd01

    That's correct. Here's a link to where Ameritrade says they do let orders placed prior to 9:28am participate in the opening auction.

    The question is what makes a marketable order before the market opens and therefore before a price is established? Besides market orders, what limit orders lower that previous close placed prior to 9:28am be part of the opening auction?

    https://www.tdameritrade.com/trade/orderexecution/inc_faq.html
    "TD Ameritrade routes all marketable orders for National Market System securities (NASDAQ, NYSE and AMEX), received prior to 9:28 a.m. ET, to either the primary market center or destinations that participate in the NASDAQ Opening Cross "NOOP". NASDAQ uses the NOOP process to centralize order handling and provide a single and transparent price for the market open on all NMS securities."
     
    #10     Nov 11, 2017
    777 likes this.