Why was the OPG strategy only done on NYSE?

[TraDaToR]

I have found an interesting strategy if I can capture the Opening Print on NASDAQ stocks.

Is it not possible to apply the OPG strategy on NASDAQ? What about ARCA?

Thanks a lot.

 

[Robert Morse]

You need to send your order to the primary exchange to get the open. On our Lightspeed Trading platfrom, when you tag an order OPEN or CLOSE, we route to the primary by default. You don't have to guess what the primary is.

Bob

 

[Daal]

I would imagine its because the presence of the NYSE specialist tends to bias the opening print towards the side the benefits them. So if you go against the imbalance (the side the NYSE specialist is on), you tend to gain an edge of a few cents per share per trade

 

[luisHK]

Quite unhappy with my fills on opg orders, I hardly ever use them and if after a while I forget a former disappointment, placing a new opg order quickly reminds me of the issue, not sure you can get much volume if u need to use opg orders on on even medium volume stocks.
Satisfied with moc orders on the other hand.

 

[d08]

Quite unhappy with my fills on opg orders, I hardly ever use them and if after a while I forget a former disappointment, placing a new opg order quickly reminds me of the issue, not sure you can get much volume if u need to use opg orders on on even medium volume stocks.
Satisfied with moc orders on the other hand.

Having analyzed auction data, closing auctions have 2-3 times more volume compared to openings - for ETFs the difference is even bigger.

 

[TraDaToR]

I would imagine its because the presence of the NYSE specialist tends to bias the opening print towards the side the benefits them. So if you go against the imbalance (the side the NYSE specialist is on), you tend to gain an edge of a few cents per share per trade

Ok Thanks. The presence of the specialist explains the little edge. But if you find a valid strategy on NASDAQ opening prints, is it possible to obtain those prints? Is there a real auction for NASDAQ? I know I can check on the exchange website but I was hoping some people would have tried it as well and relate their experience.

What about ARCA?

 

[Robert Morse]

is it possible to obtain those prints? Is there a real auction for NASDAQ?

NASDAQ-Yes and Yes. http://www.nasdaqtrader.com/Trader.aspx?id=OpenClose

Route all your open and close orders to the primary to get the open/close price, as I said before. Arca is not the primary as far as I know for any equity or ETF.

 

[TraDaToR]

OK. Thanks Robert. I didn't know you were referring to NASDAQ as well as the primary in your first post.

For a lot of ETFs, the "default" exchange on IB is ARCA. Is it not the primary in this case?

 

[Robert Morse]

NYSE ARCA is not an exchange, it is an ECN. There are no listed companies on NYSE ARCA. You should contact IB to find out what happens if you route there for the open or close.

 

[Robert Morse]

Quite unhappy with my fills on opg orders

I don't have an opinion as to if that is the best time for you to enter a position, but I have two clients that trade a fair amount of volume on the open and close. It works for them and fits their day trading.