Need some answers from the experts on moc's

Discussion in 'Order Execution' started by rookiemd, Feb 4, 2008.

  1. Since trading, I have always wonder how moc works. I tried to do a search to find these following answers to my questions and came up emtpy. If I can get some help from the experts on this site, I would greatly appreicated.

    1. I notice from reading some of the moc questions posted here, companies are putting in orders for moc through out the day. Is there a cut off line when they can put in their orders?
    2. How exactly are these orders getting fill after the close? are they taking the buyers or the sellers from the book or is there another source they get to fill their orders? How do they determine what the final print is?
    3. Are the numbers for moc real? I have seen in many occasion that the moc was a small number and the last print was couple pts different from the close. Example was MA last week. Close near $210 or so and printed $207 when there is only like 50k remainning on the imbalance.

    Thanks ahead to the ones that can help...
  2. 1. All MOC orders must be received at NYSE (and at AMEX) by 15:40 ET unless entered to offset a published imbalance.
    New York Stock Exchange (NYSE) rules also prohibit the cancellation or reduction in size of any market-on-close (MOC) order after 15:40 ET.
    All MOC orders must be received at Nasdaq by 15:50:00 EST and cannot be cancelled after 15:50

    2. Orders are filled from the MOC order book which orders can be entered from 7am to 3:40 they also interact with live liquidity that is available on the exchange at the close. Nasdaq includes live days orders in its closing cross but only the liquidity that is on the exchange during the close it will not go outbound to other exchanges this is true for NYSE, ARCA, and AMEX
  3. Also,

    On NYSE the first close print is the imbalance print - specialist will stop the imbalance against the book (and he may participate as well). The second close print is the paired off MOC/LOC orders at the previous print price.
  4. Thanks guys for the info. Any answers for #3?
  5. They're as "real" any anything else we see. Orders are changed, imbalances are offset, being republished at 15:50 of course. And then the Specialist may have already matched a zillion shares before publishing imbalances, which makes the MOC print size seem much different than imbalance.

  6. HotTip


    For the most part they're real, although I did get f**ked over a few weeks ago by the specialist on a long MOC order on CNH. It was trading at ~50 in afterhour trading, and then all of a sudden my order was hit at 52.25, and immediately the afterhour trades went back down to 50 (a greater than 4% slippage on a very liquid stock). I called the NYSE and was assured that was the final print, but the next day there was no record of 52.25 being the final close on any of the data sites I went to. Everything said 50. I launched a complaint with the NYSE and with my broker, but of course it all disappeared in the ether. That screwing cost me over $4k within a millisecond.

    As it is during the market hours, you can expect to get slippage on large orders relative to illiquid stocks. However, for the most part, particularly if it's a small order on a fairly liquid stock, the last print should be fair and be reflected as the official close the next day.
  7. What are you taking about? NYSE trading is closed after 4:00pm (not sure you are eligible to enter orders during crossing sessions). You must have parked your order on an ECN.
  8. cstu


    many of the brokers who use third market dealers in listed shares send the orders to ecn's. They then do not honor the final print on the NYSE and wind up hurting the customer.

    This problem is especially prevelant on expirations and days with large imbalances.
  9. just a note on those small "imbalances" that you see print points away. specialists don't have to report imbalances if they are less than 50k shares.
  10. cstu


    depending on the stock 50,000 might be a large imbalance trading at a significant discount or premium to prior sale.
    #10     Feb 11, 2008