GTC order not executed (not filled)
- Thread starter thecoder
- Start date
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Yes;
more so with semi liquid stuff with wide bid/ ask spread. ''Slightly higher??'' Close doesnt count except in horseshoes + hand grenades. Not in muni bonds now\ but the ''muni bonds ladder buy or sell order pattern '' helps on that.
May not be much liquidity @ turn points even in liquid stuff like SPXL/UPRO.
NOT a stock tip\not insured by any federal agency
Are you sure that a GTC order doesn't participate?
This document suggests that GTC orders are included in the opening.
https://nasdaqtrader.com/content/ProductsServices/Trading/Crosses/openclose_faqs.pdf
Say I have a GTC buy limit order at $10.05 for a stock. How could it open at $10.03 and not have my order filled?
This document explains execution priority for the different orders:
https://www.nasdaqtrader.com/conten...adingProducts/crosses/openclosequickguide.pdf
I see that MOO orders are higher priority, but those just trade at the market price. Second priority is "orders priced more aggressively than the crossing price" including GTC orders.
So once all the MOO buy orders are filled, it seems like the buy orders that have to fill are the buy limit orders that are above the opening. I suppose that theoretically you could run out of shares before all those higher priced buy limit orders are filled, but if that's the case, how can they claim that their opening price was the one that resulted in the maximum number of shares matched? Since you run out of shares selling, before you run out of buy orders that are willing to pay a higher price, why isn't the price set higher so as to increase the available limit orders that will sell?
What am I missing? I ask because I use limit orders almost exclusively.
Even if there was little liquidity, doesn't the NBBO requirement mean that they have to sell those shares to me at $10.05, before they can sell to someone else as $10.03?
That does seem conflicting. I'm going by personal experience with IB. Market orders I sent half an hour or more before open were executed in the regular session and not at auction.
You can never have the actual maximum number of shares matched when it comes to limit orders as many are offsets that come after 9:28. Market orders with massive volume attract the imbalance orders with which the limits are competing with. From what I've seen imbalance algos have gotten way better and faster, so we don't see many crazy open spikes at all. Years ago it was a different story when the open was 5% or more from the tape.
You are right about that. Although each exchange has its own set of trading rules, GTC are usually included in the opening auction process.
I cannot, unless the exchange has a special case for odd lot at the opening and your order is an odd lot.
Reminder that each exchange has its own set of trading rules. And on top of that, Brokers may handle order types in different ways in order to harmonize the differences between exchanges.
NBBO requirement doesn't usually apply for the opening.