1. I want to simultaneously exit many positions as near to the official closing price as possible
2. I don't want to use MOC orders
3. I want to minimize slippage so if liquidity is going to drop off as we head into the close, I need to close my positions before liquidity dries up
When is the best time to "pull the trigger" while satisfying these conditions? 3:45pm? 3:55pm? 3:59pm? or?
Also, is there any ECN historical data out there that would show how liquidity levels vary at various times of the day on that ECN?
2. I don't want to use MOC orders
3. I want to minimize slippage so if liquidity is going to drop off as we head into the close, I need to close my positions before liquidity dries up
When is the best time to "pull the trigger" while satisfying these conditions? 3:45pm? 3:55pm? 3:59pm? or?
Also, is there any ECN historical data out there that would show how liquidity levels vary at various times of the day on that ECN?