Timing Issues

t0yland · Nov 5, 2003

Im developing an application, using the IB API, to automate my strategy for me. The strategy buys at, or near as possible, to the close. However, the price must be within a certain range. Now I could always use LOC orders to accomplish this. The problem is LOC orders have to be in 20 min before close and the price can change in that time. If such happens no trades will go off and basically I will be sitting on capital.
Anyway to the real question/point. Knowing all that above I was thinking of buying right before the close; perhaps that last 1 min to 30 seconds. Then comes the issue of timing the exact close. I could go off my system clock, which would be exact. So after all that I guess the question is:

How exact is the close? Does the market generally close exactly at 1600 EST or perhaps 30 seconds off? How does the nasdaq and NYSE differ, if any?

I wasnt sure if this thread should go in the trading forum or some other. Sorry to the mods if its wrong

lindq · Nov 5, 2003

As the system I trade calls for selling at the close, I have had a good deal of experience with this, and I've learned to place my orders at least 5 minutes before the close to avoid a rush and a missed trade. This is especially true of NYSE stocks. If you push it to the last minute, you may not get filled. Hope that helps.

t0yland · Nov 5, 2003

Quote from lindq:

As the system I trade calls for selling at the close, I have had a good deal of experience with this, and I've learned to place my orders at least 5 minutes before the close to avoid a rush and a missed trade. This is especially true of NYSE stocks. If you push it to the last minute, you may not get filled. Hope that helps.

Ya i was thinking about that as well. One question for ya: How far off are you from the closing price in general? Do you keep any statistics on it?

Thanks

lindq · Nov 5, 2003

Quote from t0yland:

Ya i was thinking about that as well. One question for ya: How far off are you from the closing price in general? Do you keep any statistics on it?

Thanks

A stock can rally in the last 2 minutes, just as it can fall. So there is no statistically relevant data. If your point is that you want to be able to nail the close as close as possible so that you can duplicate your system and/or backtesting, my experience would say that you really can't. There is nothing, in my knowledge or experience, that is guaranteed to give you the closing price, anymore than you can be certain of getting an opening price. But in general, if you get your order in a couple minutes before the close, over time you will likely find that things average out.

This is unless you are looking for small fractional moves just overnight, in which case you are probably screwed, because movement in the last minute will probably cook your system. Hope that helps.

t0yland · Nov 5, 2003

Quote from lindq:

A stock can rally in the last 2 minutes, just as it can fall. So there is no statistically relevant data. If your point is that you want to be able to nail the close as close as possible so that you can duplicate your system and/or backtesting, my experience would say that you really can't. There is nothing, in my knowledge or experience, that is guaranteed to give you the closing price, anymore than you can be certain of getting an opening price. But in general, if you get your order in a couple minutes before the close, over time you will likely find that things average out.

This is unless you are looking for small fractional moves just overnight, in which case you are probably screwed, because movement in the last minute will probably cook your system. Hope that helps.

Indeed you backed up my presumptions. I assumed( bad thing) that the following is true: "But in general, if you get your order in a couple minutes before the close, over time you will likely find that things average out."

Nah, im not looking for small over night movers. My average trade last about 3 days.