Slippage at open

N

nathans

Hello,
I am investigating an equity strategy which generates signals after market close and places entry market orders before the open on 9:30am EST. I am hoping to get my fill price as close as possible to the "official" open price (the open price documented by data vendors).
When running this in IB paper mode I am getting very high slippage relative to the official "open" price - 0.5%-1%.
Should I expect such large slippage in live trading or is this some flop of the paper mode?
From your experience what is the best tactics to submit a market order before the open and get a fill as close as possible to the official open price?
Thanks, N
 
nathans said:
Hello,
I am investigating an equity strategy which generates signals after market close and places entry market orders before the open on 9:30am EST. I am hoping to get my fill price as close as possible to the "official" open price (the open price documented by data vendors).
When running this in IB paper mode I am getting very high slippage relative to the official "open" price - 0.5%-1%.
Should I expect such large slippage in live trading or is this some flop of the paper mode?
From your experience what is the best tactics to submit a market order before the open and get a fill as close as possible to the official open price?
Thanks, N
More...

In TWS, enter your order as BUY OPG MKT, and transmit it prior to the market open.

I have no idea how IB handles this in paper trading, but it is efficient in actual trading.
 
Thank you lindq, it is my understanding that an OPG order in NYSE participates in the open auction whose price does not necessarily equals the "official" open price. Will BUY DAY MKT do the job?
 
nathans said:
Thank you lindq, it is my understanding that an OPG order in NYSE participates in the open auction whose price does not necessarily equals the "official" open price. Will BUY DAY MKT do the job?
More...
use opg mkt. day mkt will lead to slippage.
 
nathans said:
Hello,
I am investigating an equity strategy which generates signals after market close and places entry market orders before the open on 9:30am EST. I am hoping to get my fill price as close as possible to the "official" open price (the open price documented by data vendors).
When running this in IB paper mode I am getting very high slippage relative to the official "open" price - 0.5%-1%.
Should I expect such large slippage in live trading or is this some flop of the paper mode?
From your experience what is the best tactics to submit a market order before the open and get a fill as close as possible to the official open price?
Thanks, N
More...
I don't trade in the US, but I have the exact same problem. I only have access to data at close and can't automate here, so when I implement a trend-following system, since I am buying at a high, I always have slippage amounting to about 2 percent per trade
 
Oadmani said:
I don't trade in the US, but I have the exact same problem. I only have access to data at close and can't automate here, so when I implement a trend-following system, since I am buying at a high, I always have slippage amounting to about 2 percent per trade
More...
For large stocks how could slippage is 2% ?
 
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