Can you explain please? After reading my initial reacting to your post.
Also some examples from crazy closes like this would be appreciated.
MOC orders for larger size
- Thread starter DevBru
- Start date
Can you explain please? After reading my initial reacting to your post.
Also some examples from crazy closes like this would be appreciated.
I am also perplexed by the comments. MOC orders are widely used and there are not many good alternatives available to retail. Now if you trade thin stocks, maybe you are better off searching for liquidity in dark places.
Just look at a rebalancing day and you'll see some bizarre closing prints. In my trading career, I have seen numerous examples of what you are saying does not exist. But I can't pinpoint a specific example for you. In my opinion, an MOC order is like playing russian roulette. I would use LOC orders and if you get a partial or no fill, then manually rectify the situation either in afterhours trading or when the stock opens the next morning.
Where did i say it doesn't exist?
All i am asking for is some examples so i can see it for myself.
Write a program to search historical closes versus the last minute of trading then. You'll find plenty of examples.
Not a programmer, might ask (pay) someone to do it later on.
However if there are plenty of examples, then why am i unable to find anything?
Not on different financial forums, not on the charts i have been going trough so far.
I am not talking about a price different of less then 0,5%, that wouldn't affect me at all.
More like 2% different from last traded price vs closing price, if there where so many examples i think it would be easier to find one, no?
The paranoia about MOCs by some in this thread is really unwarranted, I have traded literally hundreds of thousands of of MOCs and they work extremely well on average. If your back test says the closing price is good then MOC is an effective way to achieve that. Sure you can get some weird prices sometimes but these are as likely to help as to hurt you. You can do LOCs instead but that has its own issues, like if you don't execute you might end up unhedged overnight. Anything involving intraday trading will introduce a huge amount of complexity into your system that would probably just be a distraction, not to mention it's much harder to back test accurately
As for impact, as long as you keep your percentage of volume low (aim to be under 10% of the auction with 99% probability in backtest) it should be minimal. the comment about "not telegraphing your intentions" is dead wrong as that is exactly what allows your natural counterparties to find you and reduce your impact.. it's the entire point of the auction mechanism.
As for impact, as long as you keep your percentage of volume low (aim to be under 10% of the auction with 99% probability in backtest) it should be minimal. the comment about "not telegraphing your intentions" is dead wrong as that is exactly what allows your natural counterparties to find you and reduce your impact.. it's the entire point of the auction mechanism.
ISHYGDDT, a market order 1 min before close will typically be much worse than the auction as you will pay spread and take fee, market impact will be higher, not to mention that slippage vs close is worse by definition
This was only done before auctions were available. Nowadays I use these orders when I have complex set of conditions for which I couldn't use MOC/LOC.
All this talk about how badly closing auctions perform is much too dramatic. Unless you're a huge part of the auction (>20%), I wouldn't think about it too much. You will affect the price but the extent is small.