What happens to a MOC if stop hit in last 10 minutes?

Quote from anvil993:

Jsmith,

I trade 10-20 names long and 10-20 names short in a market neutral strategy.

I have used Anvil at Assent, Laser at Genesis, RealTic and Redi+ at Bear Stearns before Goldman purchased them.

I am at a prop firm, and like most their platforms are circa 1998, buy/sell/short.

I am trying to implement a more mechanical exit strategy, one to eliminate emotion causing me to override the basket, and two to allow me to better manage numerous open positions.

A few programmers I've spoken to seem to focus on applications for IB's TWS.

FWIW, I use Pacmid Technologies Blackwood platform, I am hoping the time and effort to develop a OCO capability for Blackwood will be worth it.

My other option is to move to IB and use the third party basket trading products. That means limiting myself to 4:1, dealing with tokens, and spending a half day on hold speak to someone.

The quest continues...
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Since MOC's cannot be cancelled in the last 20 minutes,the way I see it you have 2 options:

1) get rid of your stop before the MOC deadline. This essentially makes you "unprotected" into the close.
2) instead of an MOC order use a market order with a "good after time" setting. These are highly reliable to the second. I probably do 50+ GAT's / day. The drawback to this case is you aren't getting the closing print if that's important to you.

If it were me, I'd take option 1, but I don't know your exact situation.
 
Quote from Surdo:

The only orders that can be entered MOC after 3:40 are those that are in the opposite direction of the order imbalance, otherwise your solution works.

el surdo
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Are you 100% sure about this ? I can't send ANY MOC orders after 3:40, regardless of the direction. I informed and the compliance officer at my firm tells me that what you're saying is incorrect and that you can't send MOC orders at al after 3:40 ?

Thanks !
 
Quote from the_whistler:

Are you 100% sure about this ? I can't send ANY MOC orders after 3:40, regardless of the direction. I informed and the compliance officer at my firm tells me that what you're saying is incorrect and that you can't send MOC orders at al after 3:40 ?

Thanks !
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Surdo is correct. There's a whole strategy built around this concept. Your firm might not allow it however. You have to have the controls in place to make sure traders follow the rules, which can be tricky.
 
Quote from Shreddog:

Surdo is correct. There's a whole strategy built around this concept. Your firm might not allow it however. You have to have the controls in place to make sure traders follow the rules, which can be tricky.
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Thanks for your answer ! Yes, that's what I thought :)

But about the rules, doesn't the NYSE specialist reject invalid MOC orders anyway ?
 
Quote from the_whistler:

Thanks for your answer ! Yes, that's what I thought :)

But about the rules, doesn't the NYSE specialist reject invalid MOC orders anyway ?
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That's a good question. Apparently the burden is on the firm, not the specialist. You'd think it would be easy for the specialist to manage, no?
 
NYSE rule 123C:

In order to minimize excess market volatility that may be associated with large-size MOC orders that are entered near the close, and to allow sufficient time to attempt to offset large imbalances of MOC orders, there is a deadline of 3:40 p.m. for the entry of all MOC orders in all stocks on all trading days except for those orders entered to offset imbalance publications or on either side of the market if a regulatory halt is in effect at 3:40 p.m. or occurs after that time... Between 3:40 p.m. and 3:50 p.m., MOC orders are irrevocable, except to correct a legitimate error (e.g., side, size, symbol, price or duplication of an order), or when a regulatory trading halt is in effect at or occurs after 3:40 p.m., or to comply with the provisions of Rule 80A....

If you think you act according to these rules, but still have any problems with submitting your MOC orders, consult your broker.

BTW, if an exchange member (your broker) routinely violates this rule and submits wrong MOC orders before the close or market orders after the closed, NYSE will reject those orders and my fine the broker. It did happen in the past...
 
Quote from speculatus:

NYSE rule 123C:

In order to minimize excess market volatility that may be associated with large-size MOC orders that are entered near the close, and to allow sufficient time to attempt to offset large imbalances of MOC orders, there is a deadline of 3:40 p.m. for the entry of all MOC orders in all stocks on all trading days except for those orders entered to offset imbalance publications or on either side of the market if a regulatory halt is in effect at 3:40 p.m. or occurs after that time... Between 3:40 p.m. and 3:50 p.m., MOC orders are irrevocable, except to correct a legitimate error (e.g., side, size, symbol, price or duplication of an order), or when a regulatory trading halt is in effect at or occurs after 3:40 p.m., or to comply with the provisions of Rule 80A....

If you think you act according to these rules, but still have any problems with submitting your MOC orders, consult your broker.

BTW, if an exchange member (your broker) routinely violates this rule and submits wrong MOC orders before the close or market orders after the closed, NYSE will reject those orders and my fine the broker. It did happen in the past...
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My firm's policy is we are fined on a violation of the rule... disgorge any profit, and eat 100% loss.

I am trying to avoid violating the rule, and avoid getting stopped out and being filled on the uncancellable MOC.

Either I cancel all stops right around 12:40 and go into the last 20 minutes unprotected, or I close the positions with a time feature as close to the close as is possible.
 
Quote from speculatus:

BTW, if an exchange member (your broker) routinely violates this rule and submits wrong MOC orders before the close or market orders after the closed, NYSE will reject those orders and my fine the broker. It did happen in the past... [/B]
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Quote from anvil993:

My firm's policy is we are fined on a violation of the rule... disgorge any profit, and eat 100% loss.
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Hmm... Interesting. I thought the specialist would just cancel the order and that's it. Just curious, how big is such fine ?

Also, just to be sure: if the imbalance at 15:40 is a sell imbalance and this changes into a buy imbalance at 15:50 ... I'd say in this case that you're allowed to send buy MOC's between 15:40-15:50 and after 15:50 only sell MOC's ?
 
Quote from the_whistler:

Hmm... Interesting. I thought the specialist would just cancel the order and that's it. Just curious, how big is such fine ?

Also, just to be sure: if the imbalance at 15:40 is a sell imbalance and this changes into a buy imbalance at 15:50 ... I'd say in this case that you're allowed to send buy MOC's between 15:40-15:50 and after 15:50 only sell MOC's ?
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Correct on your second paragraph. And that scenario does happen from time to time.
 
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