what's the best algo/way to fill missed MOO orders?

L

lovefxspot

starting to see missed MOO recently...trying to figure out which IB algo (or any other method) is the best to fill missed MOO orders?

any input gonna be appreciated :p
 
Thanks , yeh you have to use a mkt order before open and then use time in force "opg", I suppose you have to be careful not to get caught up in pre mkt activity? ( stocks)?( a mkt order before open could be catastrophic).
 
henry76 said:
Thanks , yeh you have to use a mkt order before open and then use time in force "opg", I suppose you have to be careful not to get caught up in pre mkt activity? ( stocks)?( a mkt order before open could be catastrophic).
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As far as I remember MKT is not gonna be active in pre-market by default. You will have to select an extra checkbox to let it execution outside of normal trading hours. So if you forget to select OPG and send MRK before open - you will likely just have your order cancelled immediately.
 
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I'm sure your right , though always best to be a little cautious in these sort of situations , god knows I've made a few errors in my time , but this one could be very expensive, I can see the attraction of doing your analysis and getting the opening price , but the mkt is very thin on open isn't it ( stocks anyway).
 
henry76 said:
I'm sure your right , though always best to be a little cautious in these sort of situations , god knows I've made a few errors in my time , but this one could be very expensive, I can see the attraction of doing your analysis and getting the opening price , but the mkt is very thin on open isn't it ( stocks anyway).
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Depends on your size and a stock universe selection. I manage to squeeze in lots of my micro-sized positions anywhere between 10,000-30,000$ USD without much impact while participating in the opening pretty much every day. A precise analysis of such impact is pretty complicated but you can reasonably guess if you will have an impact based on daily stock's volume & price.

Val
 
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