Market on open / close question

Discussion in 'Order Execution' started by lasvegas_trader, Mar 13, 2007.

  1. Just finished developing a system that trades off of open/close price. Can I always expect to be filled at the official open/close price if I enter a MOO / MOC order?

    0 slippage?
     
  2. If you are buying first, yes. If you're shorting first, possibly not of course. NYSE.

    Been tried by many, failed by most over the last few decades however.

    Don
     
  3. You will miss a lot of short entries on the open due to the uptick rule.
     
  4. sam13

    sam13

    You can short Nasdaq stocks at the open but not NYSE unless is uptick. You will get the single auction price BUT be aware that if your order is large in relation to the volume that is crossed at the open then you will be influencing the opening price and so will incur market impact losses. To get an idea of the volumes that cross at the open (for Nasdaq), take a look at

    http://emi.nasdaq.com/?tab=openclose

    You will need to register to download files.

    Hope this helps.