MOC orders for opening and closing positions

[McTrading]

The times have changed now, that doc is fairly old now. Nasdaq is 15:55, for nyse the imbalance is first published at 15:50 which only includes MOC/LOC (and why the ABEV imbalance didn't immediately have a large impact), at 15:55 it also includes dquotes (of note dquotes could have very well been there since hours ago, they simply aren't included in the imbalance prior to this time), so in the ABEV example there either could have been 3.5 M buy dquotes prior to 3:50 or they could have come in after the first imbalance, no way to know from the data.

I use pcap data from the live multicast feed and prior to doing the pcap I bought the historical data from nyse and nasdaq.

I see, this explains the volatility in VISA 10 and 5 minutes prior to the close today.
Thanks, i should have realized this myself

Looks like i also need to find a way to get live access to the imbalances to understand it even better.

 

[qlai]

Ideally you'd get imbalance data from nasdaq/nyse and some tick data and then create a market impact model in order to determine the cost of trading the close, it's the approach I've taken.

How do you define "impact?" - how much closing price will move if your order creates/increases imbalance by N shares?

 

[dinn13]

How do you define "impact?" - how much closing price will move if your order creates/increases imbalance by N shares?

Yeah, effectively. So the expected return from say the imbalance coming out to the close price conditional on the imbalance as a function of volume. There often are other variables like volatility to improve the model but by far for the close the most important one is simply the imbalance divided by a measure of volume (adv or just today's volume).

 

[qlai]

Have you tried CBOE's Market Close? Since they don't advertise/publish their imbalances, I would assume they don't have enough volume to make a difference.

http://cdn.batstrading.com/resources/membership/Cboe_Market_Close_FAQ.pdf

 

[lindq]

Why does the last price matter? I am trying to get the official close price and hold my position for multiple days/weeks, this is how i created and tested my strategy, so what difference does the price after the official close makes? Do you mean after market trading?

The last order in my DOM was 1 minute and 50 seconds after the close at 4,54 by ISLAND exchange.

I often avoid MOC by setting a conditional time order, or orders, just before the close.

 

[McTrading]

I often avoid MOC by setting a conditional time order, or orders, just before the close.

What is the advantage of avoiding MOC, specially when trading larger size?

 

[lindq]

What is the advantage of avoiding MOC, specially when trading larger size?

I often find it helpful to split orders to execute at different times just prior to the close, as opposed to being caught in the automatic doors as the train leaves for the day.

A few brokers, such as IB and TDA, offer conditional-at-time orders.

 

[McTrading]

I often find it helpful to split orders to execute at different times just prior to the close, as opposed to being caught in the automatic doors as the train leaves for the day.

A few brokers, such as IB and TDA, offer conditional-at-time orders.

I have been away for some time so hence the late reaction.

I do understand your point, however my strategy is based on closing price, even a change of lets say 0,2% in the last 10 or 15 minutes wouldn't matter much. The main reason why i like the MOC orders is scalability, even extreme volumes and extreme imbalances have minimal impact on the market. Such volume is extremely hard to trade during the day.