MOC order reliability?

Discussion in 'Order Execution' started by axeman, Dec 2, 2002.

  1. 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
     
  2. 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
     
  3. 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


     
  4. def

    def Interactive Brokers

    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.
     
  5. Thanks def....

    Now the question is... does IB give me
    the imbalance numbers? :D

    If so...how?

    peace

    axeman ( IB user )


     
  6. def

    def Interactive Brokers

    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.
     
  7. chs245

    chs245

    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
     
  8. 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