What happens to a MOC if stop hit in last 10 minutes?

Discussion in 'Order Execution' started by anvil993, Aug 16, 2007.

  1. Wondered if I can get a little help with this:

    I am developing a automated order ex application which enters trades MOO and closes them MOC.

    Protective stops are generated as I get filled a few minutes after the open. At the same time MOC orders are sent to flatten all positions at the close.

    Today, while in simulation mode, I was short XRT, the protective stop was touched a few minutes before the close, since the stop occurred during the period when MOC cannot be cancelled, would I have ended up long with the MOC order?, forcing me to a sell long in the after hour to get flat.

    Any suggestions on how I can offset this potential problem?
  2. Samc


    Short it while the market is still open. Then the MOC will flatten you. No?

  3. Surdo


    He started out SHORT, so the MOC would be a buy-to-cover.
    The only orders that can be entered MOC after 3:40 are those that are in the opposite direction of the order imbalance, otherwise your solution works. He would have to just manually enter an order near the bell to offset his position if it is in the same direction of the imbalance.

    el surdo
  4. Samc


    That is what I meant, whatever the order is for at MOC you do the reverse while the market is open. I have been in that situation before...
  5. Thanks for the reply,

    What you guys are saying is... between the time the original short gets stopped out and the close, i should simply short a second lot to offset the incancellable buy-to cover MOC, right?
  6. Surdo


    It is not exactly legal to be on both sides of the market with the same name, but shhhhhhh, I won't tell if you don't.

    el surdo
  7. jsmith


    I have a Buy-Stop with two attached orders.
    1. Stop-Loss if the Price goes down
    2. Sell MOC if Stop-Loss isn't triggered

    If any of the 2 attached orders execute, it should cancel the other order.

    There was 1 day where the market took a dive the last 10 minutes and multiple orders stopped me out. The associated MOC order CANNOT be canceled in the last 10 mins so they executed.

    The result was I net short on all the orders that stopped me out. Of course, the market goes up some afterhours with the sharp drop at end. I covered the orders for about a total of $1000 loss.
  8. jsmith


    Another time, I was margined 3x my Cash Balance going into the close. I had a MOC to close the entire position at end of the day. My MOC cannot be canceled so there is NO reason for them to liquidate my position.

    IB auto-liquidates my position down to 2x my Cash Balance in the last 10 minutes. My MOC puts me net short 1x everything IB liquidated for me.

    Then I cover the position afterhours for another $600 loss. I wonder if IB ever fixed this stupid flaw in their system.
  9. Jsmith,

    I trade 10-20 names long and 10-20 names short in a market neutral strategy.

    I have used Anvil at Assent, Laser at Genesis, RealTic and Redi+ at Bear Stearns before Goldman purchased them.

    I am at a prop firm, and like most their platforms are circa 1998, buy/sell/short.

    I am trying to implement a more mechanical exit strategy, one to eliminate emotion causing me to override the basket, and two to allow me to better manage numerous open positions.

    A few programmers I've spoken to seem to focus on applications for IB's TWS.

    FWIW, I use Pacmid Technologies Blackwood platform, I am hoping the time and effort to develop a OCO capability for Blackwood will be worth it.

    My other option is to move to IB and use the third party basket trading products. That means limiting myself to 4:1, dealing with tokens, and spending a half day on hold speak to someone.

    The quest continues...
  10. Yes they did.
    #10     Aug 16, 2007