MOO market on open - does one always get the open price?

cunparis · Jun 14, 2008

I just started using market on open orders and I'd like to know if they are always filled at the open price.

Let's say in the first 5 minutes the stock goes down 1%. Would the market on open order get filled at the open or is there a risk that it would get filled at less? And how much less?

I'm also considering limit on open but the problem is I'm not sure what to put for the limit price. I don't really care what I pay as long as it's the market open price.

I hope that makes sense.

shortie · Jun 14, 2008

if you send OPG order it should be executed at the exact opening price. search this site for OPG for more info.

there is also opening order thread where they use envelopes to set limit-on-open orders http://www.elitetrader.com/vb/showthread.php?s=&threadid=113278&highlight=opening+orders

cunparis · Jun 17, 2008

I've done several days of testing with a small lot of 100 shares, and most of the time I'm filled at the open but maybe 25% of the time I'm filled at a different price. Today I shorted one at the open and got filled 1.2% under. I just checked and this stock seems to have a bigger spread than normal, is that why my fill was lower? On the others the fills were within 1 penny of the open price.

Moneyball · Jun 17, 2008

As long as you're entering market on open orders before the open, you should be getting the exact opening price, not even .01 away. It sounds like maybe you're just entering market orders (not market on open), or you're looking at the NYSE open vs. the consolidated opening price.

What stock did you get filled over 1% away on?

cunparis · Jun 17, 2008

Quote from Moneyball:

As long as you're entering market on open orders before the open, you should be getting the exact opening price, not even .01 away. It sounds like maybe you're just entering market orders (not market on open), or you're looking at the NYSE open vs. the consolidated opening price.

What stock did you get filled over 1% away on?

I did a short on NRF with IB's MKT and the time set to OPG which I understand is a market at open order. I don't know of any other way to do it with IB so I hope that is correct. With my MB account it says "market-on-open" but IB you do market and OPG for the time.

The open was 9.49 and I got filled at 9.36 which is 1.36%.

I had a few that were filled at 1 or 2 cents from the open, and another that was over 10 cents in my favor.

Moneyball · Jun 17, 2008

Quote from cunparis:

I did a short on NRF with IB's MKT and the time set to OPG which I understand is a market at open order. I don't know of any other way to do it with IB so I hope that is correct. With my MB account it says "market-on-open" but IB you do market and OPG for the time.

The open was 9.49 and I got filled at 9.36 which is 1.36%.

I had a few that were filled at 1 or 2 cents from the open, and another that was over 10 cents in my favor.

The NMS open was 9.49, the NYSE open was 9.36. It's almost certainly the same issue with your other fills.

cunparis · Jun 17, 2008

Quote from cunparis:

I did a short on NRF with IB's MKT and the time set to OPG which I understand is a market at open order. I don't know of any other way to do it with IB so I hope that is correct. With my MB account it says "market-on-open" but IB you do market and OPG for the time.

The open was 9.49 and I got filled at 9.36 which is 1.36%.

I had a few that were filled at 1 or 2 cents from the open, and another that was over 10 cents in my favor.

Ok, I just thought of something: the uptick rule. Could that have something to do with it?

magicz · Jun 17, 2008

you are a little late on the uptick rule. about a year ago uptick went bye bye.

Moneyball · Jun 17, 2008

When you send market on open orders to the NYSE, you get the first print on the NYSE. Those prices you are talking about are the first prints on NMS.

If you go back and look at time and sales, you should be able to see this. You're getting the right price.

cunparis · Jun 17, 2008

Quote from Moneyball:

When you send market on open orders to the NYSE, you get the first print on the NYSE. Those prices you are talking about are the first prints on NMS.

If you go back and look at time and sales, you should be able to see this. You're getting the right price.

Funny about the uptick rule, no one told me. I rarely sell stocks short.

I really don't understand the explanation. In the trade log it says 9:30:16.. so in 16 seconds the price went down over 1%.. or was there a big spread?

I thought that they queue up all the open orders, set the price, and then at the open the order book is empty. Is this not how it works?

I now have the feeling that they queue up the orders, figure out what is the optimum price to fill them all as quickly as possible, and then when it opens they get executed. Still not sure how in this case the price drops 1% in 16 seconds..