I pretty much short stocks everyday, Im in at the open price and out at the close price. Getting the close price has been simple, the open price has been inconsistent. Ive built in some slippage but not 10%.
Got it, I didn't read your initial post thoroughly enough. I'm far from an expert on fills, but it sounds like a fill issue with your broker before it would be an issue with your system...unless I'm missing something else about how your system could possibly affect how/when you get filled once you've placed an order.?
Given this sort of slippage, wouldn't you generally be better off if you avoided trading at or arnd the open? FWIW, I don't see any fills at 3.29 on the open, just 3.30 and 3.32.
You been incredible lucky then, there can be many limits that don't get filled cause lack of shares. I have never used getting in the open, I have always waited five minutes first, then split that bar to enter half way. I never chase anything either. And I never place any protective stops before any market opens, that was lesson learned hard way.
I just called my broker and they gave me a rundown of the premarket orders that occurred just prior to open. It did run down into the low 3.30 range just before open which I didnt see. They also confirmed that my "At Open" order was part of the opening auction and everyone, some 30k shares, were filled at 3.29. the stock did then immediately make a few quick hops up to the 3.5 range. So it seems my order had nothing to do with slippage. They also confirmed that there is no "Line" during the open auction, everyone is filled at the same open price. Even though Im down alot Im ok with this, Im still within the statistical bounds of my system and thats all that matters.
This stock is doing some shady stuff....the spread is getting larger and larger as the volume increases into the close.