open auction fills

Discussion in 'Order Execution' started by privador81, Apr 15, 2012.

  1. I have question about fills in the open.
    I have noticed that every open starts at some point for example @12.14
    My question is next. Lets say i put MSFT buy order @300.00 100 shares
    But the fill is somewhere 30.50 not 300....
    If i put buy order 10000 shares. Is there will be same filling @30.50
    Lets say MSFT open auction block is about 200000shares
    How many shares i have to buy, which start to alter significately 30.50 opening price? i

    My question is based on phenomena, that sometimes i am intrested in buyng at the open. But i dont know opening prize. Therefore i have to put my order ridiciously high to ensure i get some fills. But i assume, that i get fills lower prize due to lower size ratio to the opening block?
    My 100 or 1000 shares dont change opening prize?
     
  2. rmorse

    rmorse ET Sponsor

    I can only tell you the process on the NYSE and NASDAQ. Orders entered to these exchanges prior to the opening, enter a sort of auction process. EVERYONE entitled to the opening price will receive the same price. The size of your order does not change that. 10 shares or 10M shares get the same price. The larger the imbalance of the orders at each price level determines the opening price. So it's possible a large order on one side of the market will change the price for the open for everyone.

    The Market on Close and Limit on Close orders work the same way.

    Bob
     
  3. I have been thinking about this.

    To answer the question: as with any auction, your decision will be based on some kind of trade-off between the probability that the order will get filled and the price. If you absolutely want to get filled you enter a market order or a limit order which is almost guaranteed to fill. You can also enter a MOO order which will fill at the official opening price.

    If you go through a retail broker your orders will not change the opening price, because the opening auction is not open for retail orders. Market makers determine the opening. Sometimes there will not be an opening cross and the first trade in the continuous auction (regular trading) will determine the open.


    Reading material:

    http://www.nyse.com/pdfs/fact_sheet_nyse_open_close.pdf

    http://www.nasdaqtrader.com/content/ProductsServices/Trading/Crosses/openclose_faqs.pdf

    http://www.itg.com/news_events/papers/Inside_Opening_Auction.pdf
     
  4. rmorse

    rmorse ET Sponsor

    Why do you believe a retail account is not entitled to the open? If the order goes to NYSE or NASDAQ, each exchange has one opening price. You can have a retail account with DMA.
     
  5. The guy is asking how much size it takes to have an appreciable impact on the open price for a given expected open volume, not whether everyone gets the same price at the open...
     
  6. It depends. Since it's an auction, half of the opening print volume bought and the other half sold. I'd look at your trade volume as a % of the average volume of opening prints for the stock.

    For something like MSFT it's not going to matter, but for many small cap stocks you're not going to get a good fill that way.
     
  7. It depends on the symbol's total interest and imbalance.
    If you have a 2 mm share imbalance & 10mm total interest then you can buy 100k shares with no problem.
    On the other hand if you have a 10k imbalance and 200k total interest. Then buying 100k shares would have significant impact in price.
     
  8. Where can you see the opening indications? I don't think IB has them, or they went away.
     
  9. Nasdaq n nyse each have an imbalance feed for the auction. Not sure if Ib uses it
     
  10. The guy is asking how much size it takes to have an appreciable impact on the open price for a given expected open volume, not whether everyone gets the same price at the open...




    you are correct
     
    #10     Jul 9, 2012