About order execution

[Bob111]

Hi all!
i write a little program, based on IB API to enter into multiple positions right at market open, if certain criteria meet. now-one of the exit rules-exit on market close. i set my app to buy on 15:59:30. sometimes it works and i did get market close price, but many times-price move way above\below my price right at 16:00.
today example-i short BRKS and cover at 19.41, but at 16:00-price drop to 19.25 and closing price is 19:25. that about 1% better! here is my question-how i can get a better price or when possibility to buy at bid greater than buying at ask?
or-how to buy at bid and sell at ask?
is market depth feature can help me some how?

Thank you!

 

[indahook]

Quote from Bob111:

Hi all!
i write a little program, based on IB API to enter into multiple positions right at market open, if certain criteria meet. now-one of the exit rules-exit on market close. i set my app to buy or sell at ask on 15:59:30. sometimes it works and i did get market close price, but many times-price move way above\below my price right at 16:00.
today example-i short BRKS and cover at 19.41, but at 16:00-price drop to 19.25 and closing price is 19:25. that about 1% better! here is my question-how i can get a better price or when possibility to buy at bid greater than buying at ask?
or-how to buy at bid and sell at ask?
is market depth feature can help me some how?

Thank you!

Maybe there was a sell imbalance. If you want to get those prices you have to enter your order MOC no later than 3:40pm.

 

[Bob111]

Quote from indahook:



Maybe there was a sell imbalance. If you want to get those prices you have to enter your order MOC no later than 3:40pm.

i agree 100% and have no problem to place automated MOC order, but IB say-native MOC-only on NYSE. on nasdaq-we will simulate MOC order to get price as close as possible to closing price. another words- they execute order to buy at ask on 16:59:30. i did check that already.

Thank you!

 

[indahook]

Quote from Bob111:


i agree 100% and have no problem to place automated MOC order, but IB say-native MOC-only on NYSE. on nasdaq-we will simulate MOC order to get price as close as possible to closing price. another words- they execute order to buy at ask on 16:59:30. i did check that already.

Thank you!

True..I should have mentioned that MOC orders are listed only. My mistake.