Recent content by avatar-ds

RSX/ERUS

You are correct, MOC orders are guaranteed on NYSE indeed: https://www.nyse.com/article/nyse-closing-auction-insiders-guide Not guaranteed on ARCA though, see example 2 at https://www.nyse.com/markets/nyse-arca/trading-info#closing

I didn't keep the whole record so can't tell exactly. My system ensures orders are placed at least 10 seconds before any cut-off times depending on the venue which would be 5 minutes for Nasdaq MOC, and the trigger for this particular order actually fired much earlier. But I don't rule out my...

Is this the same for NYSE though? I would think so but I struggle to get this confirmed even after going through their online documentation...

It wasn't quite a big deal especially since it was easy to fill the rest manually after the close at the same price. But I'll have to figure the way to account for such potential mis-execution in my code because I'm, a heavy user of on-close orders. While it's obviously my fault that I didn't...

Thanks, that's indeed the case. I went through NASDAQ's faq after reading your reply and it confirms that even market OC orders are not guaranteed, although I would have preferred it to be stated more clearly by them perhaps. TBH though it still looks a bit unexpected since I was able to...

Pardon me?

I just got this totally unexpected partial execution on NASDAQ/NMS. The order was of type MOC and placed through IBKR. Time and sales shows total volume was about 45K through the closing cross in the equity and my order was just about 2K but I only got about 2/3 of that filled with IBKR...

What does this mean? Returns, daily turnover, trading funds?

But that is not what that guy said. He said that daily price dynamics are all noise. (This is nonsense, of course.)

The "staring at the screens" part feels like a legit script for a Hollywood blockbuster.

There is absolutely nothing there that proves the ETFMG actually broke into the ETF's own legally registered account and transferred the actual 1.5 billion $$$ of its investors' funds to their own account. This looks like purely a legal paperwork thing mostly concerning the rights to the...

Thanks for these suggestions. To clarify, I use C# for IB interaction. Excel is just for running the statistics. Your suggestions encouraged me to persevere and after many attempts I think I got it running. My mistake was that I also used the PrimaryExchange field for the contract and...

For relatively small columns (a few thousand figures) I would frequently just use a quick and dirty inline fixed maximum length figure such as SUM(A:A 1:10000), problem solved. For an advanced approach requiring performance optimization and clarity I'd use named ranges or tables. While named...