NYSE MOO Fills Worse Since 11/1/07?

Discussion in 'Order Execution' started by ratan961, Nov 19, 2007.

  1. sam13

    sam13

    The opening cross would have happened at 1 single price. The other trades that occurred between 72.49 and 73.48 would have either been on ECNs or on the NYSE later in that opening minute.

    It is unfortunate that the cross occurred at the bottom end of the range but that is only partly due to your trade.

    The open is a very volatile time to trade. Obviously if the specialist finds there are lots of sellers at the open he will open the stock down as much as he can get away with and step in and take the buy side of the trade. Your objective should be to make sure that your order is so small relative to the total volume being crossed at the open that it won’t significantly affect which side the specialist decides to profit from. I would imagine that if your order represented 13.5% of the cross volume then you will on average have impacted the price by about 0.1%. You got unlucky on that trade as there were probably many other sell trades, but I am sure if you check out all your past trades you will have benefited from a buy imbalance many times.

    I have entered thousands of MOO orders. I have had some great fills where I have bought at the absolute bottom of the day and some terrible fills when a minute after my order has been crossed the price has fallen 5% or more. If you are going to trade at the open then you are just going to have to accept this random volatility and be reassured by monitoring your trades that on average you are only having minimal impact on the price.

    The best thing you can do is to see whether you miss out on much profit by delaying your order till later in the day. Many of my MOO orders move the price >0.1%, but I am happy to pay this slippage as I will miss out on more than 0.1% of profit if I delay my entry.
     
    #31     Sep 15, 2008

  2. I believe this as well. Since I trade based on EOD data, I like to program my orders before going to work and I can't count on being at my desk to watch them.

    OK, cross is 1-2% of daily volume for nasdaq and 3% for NYSE. I should keep my volume to be less than 10% of the cross volume, which would be 0.003 of the daily.

    I have been using 0.0025 of the daily (based on 10 day average). I think I should be safe there. I don't mind moving the price 0.1%. I'll give that to the specialist, I will consider it gratuity.

    And sometimes I get lucky and I'm the one taking the other side of the volume and I'm on the specialist's side.
     
    #32     Sep 15, 2008
  3. sam13

    sam13

    That's right.

    Obviously on news days there will be more daily volume so you can place slightly larger orders.

    Best of luck with everything!

    Sam.
     
    #33     Sep 15, 2008
  4. Well, at least we can read the chart. Man, cut down the size next time!!!
     
    #34     Sep 16, 2008
  5. Sorry, it was my first time doing an attachment and the forum doesn't allow one to modify the attachment once it's made, NOR preview it. I suggest writing to the forum administrators to ask for this feature.
     
    #35     Sep 17, 2008
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    #36     Sep 17, 2008
  7. Is there a web site that lists the composite open and the NYSE open?
     
    #37     Sep 17, 2008
  8. d08

    d08

    Any news on this?
    It's quite ridiculous that you can find NASDAQ crosses easily (both current and historical) but NYSE doesn't publish any such data, I guess they don't want anyone trading their exchange at open/close?
     
    #38     Jul 28, 2010
  9. halligan

    halligan

    I have not found one for free yet, but
    subscribers to finviz.com elite can get exact nyse open price.
     
    #39     Oct 4, 2010
  10. they do, but you have to pay for it. their website has all the historical data you could need.

    a cheaper/easier way is with an esignal acct. limited to around 2 weeks though (think that's the intraday t&s limit).
     
    #40     Oct 5, 2010