NYSE MOO Fills Worse Since 11/1/07?

R

ratan961

I make pretty extensive use of Market-on-Open orders, and I also track "slippage" in those orders by comparing my fills vs. published opening prices on Yahoo Finance. Since 11/1, when the NYSE says they changed their opening process, my fills have been horrendous compared to the published prices. Previously, my slippage was basically neglible. Now, it's already cost me $30k in less than 3 weeks. Has anyone else noticed this change? I know a lot of people might just say not to use MOO orders, but I've been using them successfully for awhile without this problem, so I definitely think something has changed in the landscape.
 
Quote from duffman:

Yahoo finance prices on opening aren't very accurate.
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The difference between NYSE opening and Composite prices at the opening time frame is what they're seeing.

Don
 
I have also noticed that Yahoo Finance Quotes for the opening on NYSE stocks are not very reliable. They are sometime very different than the fills I get for my OPG orders. I suspect that yahoo use the first quote of the day after 9H30 (like ECN quotes or other) if the NYSE opening is delayed a bit. Does anybody know a more reliable source for historical NYSE opening price? Don, I am sure you know some reliable sources for that ;-)
 
I'd also like to know if there a better, free, source for the official opening price.

But even though I know Yahoo Finance doesn't have the most accurate data, it used to be pretty close where as now it is not.
 
I have had some luck with entering MOO's into the extended hours sessions at a limit price of the current day's close (or recent quote if it has moved in my favor since the close). If not filled before RTH the next day, I CXL/replace with OPG order.

For an MOO order, I think slippage against the prior day close is just as meaningful as slippage against the current day opening price. After all, a MOO order says that some condition became true >yesterday< that is telling you to act ASAP today. If I can therefore lock in yesterday's price and eliminate overnite risk, why not?
 
Does anyone have a link explaining the new NYSE opening process?

Today I bought CAM with a MOO order, was filled at 99.63, every site I've looked at says the open was 99.15. Brutal slippage
 
Quote from PnL Rally:

Does anyone have a link explaining the new NYSE opening process?

Today I bought CAM with a MOO order, was filled at 99.63, every site I've looked at says the open was 99.15. Brutal slippage
More...

What you're seeing are "consolidated" prices and trades vs. NYSE. Yahoo finance, etc. are mostly showing the ECN pricing, not NYSE.

FWIW,

Don
 
I have seen these "consolidated" opens in real time many times on some NYSE stocks that I follow. Sometimes it is only a single print of 100 shares at the opening bell, many times far away from the NYSE open print. Since this constitutes a valid "open" in the current NBBO model, it has the effect of distorting charts (painting the tape?), so that someone using a strategy that is based on the open price may not get the same result in real trading as their backtests may have shown.

Echo

Quote from Don Bright:

What you're seeing are "consolidated" prices and trades vs. NYSE. Yahoo finance, etc. are mostly showing the ECN pricing, not NYSE.

FWIW,

Don
More...
 
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