Limiting Market On Open slippage

[markd01]

Instead of existing your stock positions with Market On Open, would it be preferrable to to have a limit order that's say 2% lower than yesterday's close (long position)?

Would that limit order take part in the opening auction? TD Ameritrade has no dedicated MOO or LOO order type, while Interactive Brokers has time-in-force of OPG (opening). I would like my limit order to stay active throughout the whole day, from 9:28am (including opening auction) to 4:00pm. What are the odds of getting a worse fill with Limit order at 98% of yesterday's close vs plain Market on Open? Any idea how this would play out at foreign exchanges - Tokyo, Hong Kong, Frankfurt, Stockholm, when trading through IB?

I also do limit my position to way under 1% of the daily dollar averaged volume. I understand that if the stock gaps down say 3% and keeps on going down I will be stuck in the position. I just want to limit maximum opening slippage to 2%.

 

[777]

That order would not take place in the opening auction.

 

[zdreg]

That order would not take place in the opening auction.

 

[murray t turtle]

Instead of existing your stock positions with Market On Open, would it be preferrable to to have a limit order that's say 2% lower than yesterday's close (long position)?

Would that limit order take part in the opening auction? TD Ameritrade has no dedicated MOO or LOO order type, while Interactive Brokers has time-in-force of OPG (opening). I would like my limit order to stay active throughout the whole day, from 9:28am (including opening auction) to 4:00pm. What are the odds of getting a worse fill with Limit order at 98% of yesterday's close vs plain Market on Open? Any idea how this would play out at foreign exchanges - Tokyo, Hong Kong, Frankfurt, Stockholm, when trading through IB?

I also do limit my position to way under 1% of the daily dollar averaged volume. I understand that if the stock gaps down say 3% and keeps on going down I will be stuck in the position. I just want to limit maximum opening slippage to 2%.

%%
Dont know about Stockholm,markD; but cant think of a worse time to exit, mostly. Don Bright Daytrading co liked the open, NYSE; but not me-it [ USA stocks] likely to reverse @ 8:55/+ CST anyway. NOT a prediction.

 

[d08]

Some brokers do convert orders received before 9:28 into the opening auction. Opening order slippage depends on the volume and 1% of total daily for it is way too much.

Ameritrade sounds like complete garbage though. No MOO/LOO in 2017, what a joke.

 

[777]

Some brokers do convert orders received before 9:28 into the opening auction. Opening order slippage depends on the volume and 1% of total daily for it is way too much.

Ameritrade sounds like complete garbage though. No MOO/LOO in 2017, what a joke.

You should lose no matter what your backtested daytrading strategy is at 1%.

 

[d08]

You should lose no matter what your backtested daytrading strategy is at 1%.

Certain symbols do abnormally big volumes at auctions, those could possible handle it. Opening auction volumes also depend on the gap size as the bigger the gap, the more volume it will have in the auction. Closing auction volumes depend on the the day's volatility compared to the average volatility.

 

[markd01]

I also do limit my position to way under 1% of the daily dollar averaged volume.

Opening order slippage depends on the volume and 1% of total daily for it is way too much.

What's the biggest position as a percentage of the daily liquidity would you feel safe with to use a Market On Open order with? 0.3%.. less?

 

[d08]

What's the biggest position as a percentage of the daily liquidity would you feel safe with to use a Market On Open order with? 0.3%.. less?

Apologies, I didn't notice the "way under" part. For regular movements it would be more like 0.10-0.15%. As the gap/volatility increases, then up to 0.5%.

 

[markd01]

Some brokers do convert orders received before 9:28 into the opening auction.

That's correct. Here's a link to where Ameritrade says they do let orders placed prior to 9:28am participate in the opening auction.

The question is what makes a marketable order before the market opens and therefore before a price is established? Besides market orders, what limit orders lower that previous close placed prior to 9:28am be part of the opening auction?

https://www.tdameritrade.com/trade/orderexecution/inc_faq.html
"TD Ameritrade routes all marketable orders for National Market System securities (NASDAQ, NYSE and AMEX), received prior to 9:28 a.m. ET, to either the primary market center or destinations that participate in the NASDAQ Opening Cross "NOOP". NASDAQ uses the NOOP process to centralize order handling and provide a single and transparent price for the market open on all NMS securities."