Predicting and executing at the opening price

I

iothetiger

I have been experimenting with a system that executes multiple trades around the open and closes out end of day.

I can reliably achieve precise end of day exits with Interactive Brokers 'Market on Close' orders, however trading the opening seems entirely probabilistic due to the spreads.

I've gone back and forth with using the midpoint of the spread as well as the last executed price before sending it to the model and am still uncertain which is best. I've been using Interactive Brokers' Adaptive Algo Market orders, both 'patient' and 'normal' priorities which scan the spread for an execution. I realize that I should be managing limit orders in the early morning, but I am hoping that is an optimization so I can put this system to work and focus on other things at the moment.

This looks like a step in the right direction: https://www.elitetrader.com/et/thre...fficial-opening-price-info-through-ib.306921/

Is it possible to execute at the opening price if I can access the order imbalance data mentioned in the link above and send an Adaptive Algo Market Order at 9:30 sharp? It looks like 'Market on Open' orders must be received by before 9:28 and that the opening price data is published from 9:28-9:30.

Any advice would be greatly appreciated.
 
iothetiger said:
Is it possible to execute at the opening price if I can access the order imbalance data mentioned in the link above and send an Adaptive Algo Market Order at 9:30 sharp? It looks like 'Market on Open' orders must be received by before 9:28 and that the opening price data is published from 9:28-9:30.
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No. The "Adaptive Algo" can not trade in the auction so is not guaranteed the opening price. The only way to have guaranteed execution at the opening price is to send a Market on Open order to participate in the auction. If you wait until the imbalance data is available it is too late to send MOO orders. At that point you can send an "imbalance only" limit order which may or may not execute.

When sending MOO orders, you do not know the price until after they execute. It is impossible to both know the auction price and get guaranteed execution.
 
That is what I have come to realize. I will continue experimenting, likely with adaptive algo limits at the opening price published. Thanks for the input.
 
Sounds like you got a nice little basket trader there...

iothetiger said:
I have been experimenting with a system that executes multiple trades around the open and closes out end of day.

I can reliably achieve precise end of day exits with Interactive Brokers 'Market on Close' orders, however trading the opening seems entirely probabilistic due to the spreads.

I've gone back and forth with using the midpoint of the spread as well as the last executed price before sending it to the model and am still uncertain which is best. I've been using Interactive Brokers' Adaptive Algo Market orders, both 'patient' and 'normal' priorities which scan the spread for an execution. I realize that I should be managing limit orders in the early morning, but I am hoping that is an optimization so I can put this system to work and focus on other things at the moment.

This looks like a step in the right direction: https://www.elitetrader.com/et/thre...fficial-opening-price-info-through-ib.306921/

Is it possible to execute at the opening price if I can access the order imbalance data mentioned in the link above and send an Adaptive Algo Market Order at 9:30 sharp? It looks like 'Market on Open' orders must be received by before 9:28 and that the opening price data is published from 9:28-9:30.

Any advice would be greatly appreciated.
More...
 
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