Can Market On Close stock order really get a partial fill?

avatar-ds

avatar-ds

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 reporting the order marked with an error as "Expired".

One caveat is that this order was involved in a complex pair-trade combo at IBKR and their system could potentially scale it down before sending to the exchange without me noticing. But I see zero reasons for them to do this so far and it was supposed to be just a regular trade out of many very similar ones carried out before.

Can a partial MOC fill really happen on the exchange or should I investigate this issue with IBKR?
 
According to Nasdaq documentation they don't guarantee that an MOC order will get filled in the closing cross so it's entirely possible that you would get a partial fill. If you're placing a lot of these orders eventually you'll get one that only partially fills.
 
Seems like it can because that is what happened. Hope it was OK for the PAIR and it balanced out. Could a Fill or Kill attribute worked on the pair? (NOT more simple, btw, MOC Pair FOK)

Order execution is probably one of the least understood, practiced, and unoptimized part of retail traders' plans. Any yet is where the professionals spend so much time optimizing and make so much money.

PS: I think Zdreg and others, are just saying the order combination of a PAIR and MOC, are ripe for imperfect execution. And there is that word again "guarantee".
 
In my experience I've gotten good (proper) fills using MOO and MOC orders and will continue to use them. As a retail trader it's a very good tool.....if there's ways to improve on it I'm all ears.

I agree with the whole keep-it-simple mantra.....in general the less complicated the better.
 
avatar-ds said:
Pardon me?
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KISS. Keep iti simple stupid.
As an offshoot from computer design
In computing, minimalism refers to the application of minimalist philosophies and principles in the design and use of hardware and software. Minimalism, in this sense, means designing systems that use the least hardware and software resources possible.

Keep your orders simple. Results are less likely to go wrong by mistake.
Kiss also applies to life.
 
avatar-ds said:
Can a partial MOC fill really happen on the exchange or should I investigate this issue with IBKR?
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Nasdaq does not guarantee MOC orders, instead relying on the market participants to provide necessary liquidity. While annoying in your case, this behavior is actually a feature not a bug since it prevents people from painting the closing print. Your order was probably out-sizing the resting LOCs that can be matched against you and part of your order was cancelled.
 
GaryBtrader said:
According to Nasdaq documentation they don't guarantee that an MOC order will get filled in the closing cross so it's entirely possible that you would get a partial fill. If you're placing a lot of these orders eventually you'll get one that only partially fills.
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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 easily fill the rest manually in after-market at the close price, so there seems to be ample liquidity for the full balance to have been maintained at the cross.
 
Bad_Badness said:
Seems like it can because that is what happened. Hope it was OK for the PAIR and it balanced out. Could a Fill or Kill attribute worked on the pair? (NOT more simple, btw, MOC Pair FOK)

Order execution is probably one of the least understood, practiced, and unoptimized part of retail traders' plans. Any yet is where the professionals spend so much time optimizing and make so much money.

PS: I think Zdreg and others, are just saying the order combination of a PAIR and MOC, are ripe for imperfect execution. And there is that word again "guarantee".
More...

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 pay enough attention to Nasdaq documentation, this was my first MOC order to fail out of perhaps a thousand or so.
 
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