Do you always get exactly the close price when you place an MOC order? If not, what percentage of the time can this be expected for say: 100 shares 500 shares 1000 shares 2000 shares 5000 shares peace axeman
NYSE only has one close so either you are with it or not. But getting the same price for 2000 shares or 200000 shares (using bigger #'s for effect) is unlikely. If you have 200,000 shares for a market on close you'll move the market slightly if it's a thick stock and a lot on a thin stock
Ok, So basically im guaranteed the closing price, which may move due to my additional shares. The SPEC cant choose NOT to fill me. Is that correct? Can I put in a MOC order 1 min before the close? peace axeman
Here is IB's implementation. Other brokers may treat them differently. Summary of NYSE rules for entering/canceling/modifying market-on-close (MOC) and limit-at-the close (LOC) orders All MOC/LOC orders must be received at NYSE by 3:40 pm unless entered to offset a published imbalance. After 3:40 pm, you may only enter MOC/LOC orders on the contra side of the last imbalance published, regardless of size. Example: If the 3:50 P.M. published imbalance reverses the prior published imbalance, only orders that offset the 3:50 imbalance publication will be accepted. Exception: On expiration days, you cannot enter MOC/LOC orders after 3:40 PM to establish or liquidate positions related to a strategy involving derivative instruments, even if these orders would offset a published imbalance. New York Stock Exchange (NYSE) rules also prohibit the cancellation or reduction in size of any market-on-close (MOC) or limit-at-the-close (LOC) order after 3:40 P.M. Eastern Time.
Thanks def.... Now the question is... does IB give me the imbalance numbers? If so...how? peace axeman ( IB user )
That I don't know. When I was trading in the states I'd get them from bloomberg or another news service. Others who trade the MOC's will have to tell you. I assume the software will reject incorrect orders.
You can get them from Dow Jones Newswire or through some trading platforms, such as Redi Plus. By the way, MOC orders for short sales will NOT always be honored. Most frequent explanation by the specialist will be "There was stock ahead" meaning that people who sell an existing long position get preferential treatment in MOC (and OPG) orders. Oliver
How about that stupid DGX last week with the Buy imbalance of 800,000 on the close 10 minutes before it grows to 950,000 It grew.... Closing print down .70 as somebody faded the order flow and sold 5 million shares on the close