OPG/MOC orders for OTC stocks with IB

ValeryN

ValeryN

For last couple of months I was tapping into low priced stocks and discovering some nuances. A fraction of them are OTC, a fraction of those need to be traded at close to open / close, which normally means OPG/MOC orders with IB.

Today I've got an OPG order cancelled in NWBO at 9:30:00 EST with "Warning: At the open order could not be executed", then I realized that lots of order types are not even available for that stock, which I suspect is OTC related. Basically only simple MKT/LMT orders were available.

Contacted IB support and they said they don't do OPG / MOC for OTC stocks.

Then I looked into my execution logs and found LKNCY executed at the open with OPG order just fine the other day. Exact execution exchange reported by IB was OTCLNKECN.

I'm not sure how much of a problem it's gonna be going forward. OTC stocks are fraction of that system wants to trade, and it seems like a fraction of them has this problem.

My question to those who have experience with this:
  1. Do OTC stocks have a concept of open/close auction in general?
  2. Does it sounds to you that I got unlucky and just bumped into an occasional rejected order but overall it should work?
  3. If not, any suggestions on how to better simulate OPG / MOC for OTC stocks? I'm assuming that MKT order at their near their open/close is the worst case scenario..
  4. As far as I understand OTC stocks has different trading hours. Open is at 8am for instance. If that's correct, do data providers normally use 9:30-16:00 to construct daily bars for them or OTC specific hours?
  5. If a ticker is traded on a major exchange is it safe to assume that once it moves to OTC there always be a ticker change? (thinking of a way to accurately backtest with/without OTC..)
Val
 
I stand corrected on execution exchange for LKNCY.
Entry was "OTCLNKECN"
Exit was OPG with "MM" reported by IB as exchange

Not sure what "MM" stands for.. But that might be the key why LKNCY got executed.
 
MM is market maker, that’s not an exchange like OTC Link. I’m not sure why you’re trying to get the market open or close, but for otc stocks I would stick to limit orders.
 
MoreLeverage said:
MM is market maker, that’s not an exchange like OTC Link. I’m not sure why you’re trying to get the market open or close, but for otc stocks I would stick to limit orders.
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Appreciate time taken to reply.

Is that IB matching orders internally? I couldn't find any information on this when looked online, and have thousands of executions with IB none having that value in exchange field, at least before I launched a strategy that specifically targets low priced stocks. Will check last couple of months of data when get home to see if there were any other examples of this.

I'm doing this because I can run a high quality backtest for that type of execution. Normally I don't have any problems with those type of orders. OTC is a new domain for me that's why I'm asking those questions.

Val
 
I don't trade OTC but there are multiple OTC exchanges and I assume they have different order handling methods. NWBO is OTCQB and LKNCY is OTCQX I believe?
 
otctrade said:
is IB still doing only per share commission pricing on OTCs?
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I'm with IB Pro so I pay per share for everything anyway.
IB has IB Lite where they say commissions are 0$. Can't say if that includes OTC. But IB Lite has no API and ability to control execution up to the extend I need.
 
MoreLeverage said:
No, not IB. most otc stocks trade via third party market makers like Citadel rather than on exchanges. That’s what the MM means when you see it as in the “exchange” field.
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Interesting.. It was just weird to see market maker in the exchange field. Thanks for clarifying.
I looked deeper at the OTC with the reference db08 provided and can see that they actually have 3 venues: OTCBX, OTCBB, OTC Pink
"Blue chips" just not American, ones with regular financials and real garbage respectively.

It seems to me that support rep just didn't dive into much details. Looking at the description of OTCQX and my live OPG order actually going thru for a security listed there I am now guessing IB does support them, but they probably draw a line after that.

Looked at my executions for last couple of months, there were only 2 with MM field.
Now trying to accurately filter out OTC vs non-OTC in my long term backtest for this strategy. Preliminary tests show that they don't creep in often enough with my liquidity requirements to hurt performance, and actually might improve it. But that needs a bit more work to confirm.

Val
 
d08 said:
I don't trade OTC but there are multiple OTC exchanges and I assume they have different order handling methods. NWBO is OTCQB and LKNCY is OTCQX I believe?
More...

Thanks for pointing in the right direction. I think that's the key after doing a bit more research on this. I was unaware OTC has multiple venues.

Val
 
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