Should I use MOC or LOC?

Discussion in 'Order Execution' started by jayr95241, Jul 29, 2020.

  1. You can't see the action just one minute before when you submit a LOC. You have to submit LOCs 10 minutes in advance.

    By saying that LOC is preferable to MOC, you are saying the auction market is so inefficient that you can tell 10 minutes in advance what price levels will imply a mean reversion edge which is so strong that it completely negates your original reason for trading the stock.

    I have researched this question and found that the price levels I have to set for this to be true are so loose that the LOCs are effectively MOCs anyways (>99.9% probability of fill). The edge is so miniscule that it isn't worth the potential costs if some freak event happens like the market dropping 5% in the last 10 minutes, and ending up unhedged overnight.
     
    #21     Aug 7, 2020
  2. vanzandt

    vanzandt

    Question.... hey on my trading software newsfeeds sometimes I get (as an example): "market imbalance on close, 300K shares on the buy side" Or it might say sell side. Is that what this is about, these eod 'auctions'(? ).
     
    #22     Aug 8, 2020
  3. DevBru

    DevBru

    Yes.
     
    #23     Aug 8, 2020
    vanzandt likes this.
  4. Will LOC go through the auction process and cause market imbalances or will it only fill you on the closing price if the volume/liquidity is already there at 4pm?
     
    #24     Aug 17, 2020
  5. DevBru

    DevBru

    Unfortunately i do not know the answer, however i assume LOC does not add to the imbalance.

    Robert Morse Probably knows the answer to your question.
     
    #25     Aug 17, 2020
  6. LOCs can add to the imbalance. Just like regular limit orders can take liquidity if they are marketable when received. "Imbalance Only" (IO) orders will only trade in the opposite direction to an existing imbalance. Note that most of the time there is very little imbalance at the auction, so you will get very few fills using this order type (and it isn't even offered by most brokers).
     
    #26     Aug 17, 2020