Opening auctions

Discussion in 'Order Execution' started by Humble Investor, Jun 7, 2019.

  1. Hi,

    I use opening auctions a lot but have always been afraid of moving the opening price too much, hence I have always submitted very small orders. Is an order for 10k shares of a $7 stock with 1000 shares average opening auction volume and 100k AVD a lot? How much of a move can I expect? Thanks a lot
     
  2. tommcginnis

    tommcginnis

    42.
    42 and 3.141598 and 1.96.

    (On weekends, 2.7182, roughly.)
     
    DaveV likes this.
  3. d08

    d08

    So you're asking if doing 1000% of the average auction volume too much? Yes, it is.
     
  4. I'm asking by how much can the stock move? 0.50%, 1%, 2%? Is there any rule that DMMs must follow so they can't screw people? In a fast moving market I rather pay 1% extra and get the fill but I'm not willing to pay 5%. I periodically see very large opening volume in illiquid stocks with little price change but not sure how to estimate the change when I want to auction a big block myself. Is there anyway to estimate that? Thanks
     
  5. trend2009

    trend2009

    it depends if you use market or limit order on open crossing.
     
  6. d08

    d08

    Difficult to precisely estimate but it does seem anything over 10% is moving the price. 1% leeway is a lot though, you can probably do 50% of the auction within that as the other side will arb your order. I doubt you can get a hard estimate though.

    Why would this matter? If both are fully executed then the effect is the same.
     
  7. Thanks. I've already been 50% to 75% of several auctions and I really liked quality of those fills. I guess there is no other way other than experimenting and I should just gradually increase my order size over time. Thanks again!
     
    d08 likes this.
  8. Maybe it's only me but my experience with LOO/LOC orders has not been good.
     
  9. qlai

    qlai

    Probably depends on which side of the imbalance you are on? If you ARE the imbalance, you are always on the wrong side, right?
     
  10. Yeah, probably. I've just had too many unfilled orders using LOO. I prefer MOO because it guarantees a fill.
     
    #10     Jun 8, 2019