Limiting Market On Open slippage

Wait, so even NYSE and AMEX orders before 9:28 are routed for the NASDAQ auction? Ouch, that's got to hurt. All the volume is on native exchanges.
 
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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.

Excellent reply. Thanks.
 
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