Execution and slippage for MOO and MOC Orders

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C3PO
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Execution and slippage for MOO and MOC Orders

Post by C3PO » Sat Jan 22, 2005 7:31 pm

Can anyone comment on the slippage and executability of market on open and market on close orders for stocks?

1) Are you usually able to get fills at the MOO or MOC price?
2) If not, what is the slippage?

Let's say trade size is around 5,000 shares.

Thanks.

Murray Ruggiero
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Slippage on the open and close

Post by Murray Ruggiero » Sun Jan 23, 2005 5:04 pm

The Question must be asked what type of stocks, SP500,Nasdaq 100, or smaller stocks. The more liquid a stock the tighter the bid -ask range so the closer your fill would be on the open or close. If you are trading Nasdaq 100 stocks or DOW stock , I would say very close, if you are trading smaller stocks and large lots , 1000's of shares large slippage could occur. You need to analyze the normal bid -ask range of these stocks to get an idea.

C3PO
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Post by C3PO » Sun Jan 23, 2005 11:29 pm

One clarification: I am interested in getting filled at the open price, not a market order immediately after the market opens. What is the best way to achieve this and what would be the percentage of trades that get filled?

What is the best way to achieve this for NYSE and/or Nasdaq listed stocks? If the stock is liquid, what percentage of trades do you think will get filled?

Murray Ruggiero
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Getting in at the open price.

Post by Murray Ruggiero » Sun Jan 23, 2005 11:37 pm

Are you wanting to get in on the open or can we make the order become a limit at the opening print.

C3PO
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Post by C3PO » Mon Jan 24, 2005 12:50 am

I am referring to getting in on the open, the first trading price for the day.

Just to make sure we're talking about the same thing, I'm referring to the "Open" prices that you see in historical pricing data.

-w.
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Post by -w. » Mon Jan 24, 2005 6:44 am

I can only speak from anecdotal experience as I didn't actually systems trade stocks at that time: Usually I got filled at the official opening price on Amex and NYSE without a problem. Sometimes I would be off a couple of cents but phoning in to the broker always got me the right price in the end.

Not so on NASDAQ stocks. If I did get filled at the exact opening price at all, the stock frequently tanked right from there (I'm talking long only here). But most of the time I would be off considerably without a chance to do anything against it. As far as I know you're not entitled to the official opening price at NASDAQ, as opposed to the other exchanges. I'd guess slippage of 30 pct with NASDAQ stocks would be my long term average assumption although I certainly experienced 100 pct as well.

Btw, that was for trade sizes of between 50K and 200K (USD) and for several years until 2003.

-wojo

C3PO
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Post by C3PO » Mon Jan 24, 2005 8:11 pm

So for NYSE stocks, does an MOO order means one will either get filled at the opening price or not get filled at all?

For Nasdaq stocks, one will always get a fill, but the slippage can be significant because it's essentially a market order immediately after the market opens at 9:30?

How does the Supermontage opening cross thing work for Nasdaq stocks? I read someplace else that it's intent was to create an official opening price like NYSE listed stocks, but it's unclear if it's working well.

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Post by -w. » Tue Jan 25, 2005 6:18 am

C3PO wrote:So for NYSE stocks, does an MOO order means one will either get filled at the opening price or not get filled at all?
I always got filled. If I did not get the Opening price I would phone the broker and they would adjust the price because with a MOO order you're supposed to be entitled to the Opening Price. But careful: I don't know if this is an official rule or if it was just a service from my broker who also happens to be one of the leading market makers. And if it was a rule I don't know whether it still exists. You might want to check with your own broker.
C3PO wrote:For Nasdaq stocks, one will always get a fill, but the slippage can be significant because it's essentially a market order immediately after the market opens at 9:30?
Exactly. But whether the Supermontage works or not, you would still not be "entitled" to this price. This has to do with how Nasdaq operates as opposed to the exchanges. So the official Nasdaq Opening Quote is just an indication. However with the most liquid stocks this quote will probably be quite near the price you will actually get. On a "normal" day, that is.

-wojo

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Slippage on the close?

Post by wbane » Fri Mar 09, 2007 12:00 pm

It looks like Blox does not apply slippage to orders executed on the close. Can anyone confirm this? I can rationalize why that's the case if indeed the software is designed that way, but I want to make sure the software is in fact designed that way. Thanks!

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Post by Tim Arnold » Fri Mar 09, 2007 1:40 pm

Yes the software is designed that way. For historical simulation purposes, Trading Blox does not apply slippage on Close orders.

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Post by wbane » Fri Mar 09, 2007 1:50 pm

Cool, thanks!

Algonquin
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MOC Slippage

Post by Algonquin » Sat Apr 19, 2008 7:54 pm

Tim:

In a prior post, you stated that TB did not take slippage into account with MOC orders. However, when I adjust the slippage % figure with my system, which uses MOC orders, slippage is taken into account. Could you explain? Thanks.

Algonquin

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Re: MOC Slippage

Post by sluggo » Sun Apr 20, 2008 8:38 am

Algonquin wrote:... when I adjust the slippage % figure with my system, which uses MOC orders, slippage is taken into account.
I just created a simple system (attached) that only has one entry and one exit, both of them MOC. I ran it on the "All Liquid" futures portfolio, and the "#All Stocks#" stocks portfolio. In both cases, the Slippage% parameter had no effect, as you can see in the images below. Even though there were thousands and thousands of trades, thousands of opportunities to apply slippage incorrectly, it appears to me that Blox software behaves as the manual predicts on every one of them: no slippage on MOC entrys or MOC exits. I was running Blox software version 2.2.9.

Perhaps you could upload this trading sytem and run it on the Algonquin computer to see whether you get the same result, or not. Maybe you've accidentally got a Market-On-Open order lurking somewhere in your code. The first revision of my system, sure did. When I changed it from MOO to MOC, voila, Slippage% had no effect.
Attachments
MOC_system.zip
Simple system using only MOC orders
(1.16 KiB) Downloaded 253 times
MOC_test.png
MOC_test.png (27.28 KiB) Viewed 9065 times

Algonquin
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Post by Algonquin » Sun Apr 20, 2008 7:44 pm

Thanks, Sluggo.

So I load your system on my computer, and as stated -- no slippage regardless of the slippage % setting. However, my system is extremely simple, and I have checked and double checked the code -- all orders are long or short on close. I am running version 2.2.9 on Vista, off my C: drive.

Any other ideas? This is baffling.

Algonquin

Algonquin
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Post by Algonquin » Sun Apr 20, 2008 7:50 pm

Duh..I think I just figured it out. My trailing stops are just that -- stops. So that is where the slippage is occurring. Not on the entries, but on the exits.

Thanks again for the assistance.

sluggo
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Post by sluggo » Sun Apr 20, 2008 8:19 pm

Other users can feel relief that the problem isn't with all MOC orders, only with your MOC orders.

I would suggest you do two things next: (1) after running your system, click on the Trades tab and slowly scroll through all the trades. Look at the "Entry Date" and "Exit Date" columns to make sure that every entry and every exit was indeed executed on the Close. Maybe your system occasionally gets a brain-freeze and trades not at MOC, as shown in red below.

(2) Divide and conquer. Gradually whittle down the portfolio and the simulation time interval, until you are left with just one trade in one instrument, that gives a different performance summary when slippage=0% than when slippage=50%. Now run this one instrument with slippage=0% and save the "Trade Log.csv" file. Run it again with slippage=50% and save the "Trade Log.csv" file. Compare these two files to see whether the discrepancy has to do with the entry fill or exit fill.
Attachments
aha.png
aha.png (197.45 KiB) Viewed 9005 times

Algonquin
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Post by Algonquin » Sun Apr 20, 2008 8:37 pm

Thanks, Sluggo.

For those interested, some trading commentary from myfuturesblog.com (no affiliation, just stumbled across it) regarding MOC orders. Not sure if others would agree, but thought it was worth sharing nonetheless.

*****
——————————————————————————–
Market On Close, MOC.

Market On Close, orders are used when you want to exit a trade at the close of the trading session.

You will get a fill At The Market somewhere in the closing range of the last few minutes of the trading session. MOC is sometimes referred to as ‘Murder On Close’ because the slippage can be quite sever during a volatile closing.

Example: You are long the market and for what ever reason you just know the market is going to drop tomorrow and you want out at the end of the day. You call your broker and say, “Sell one Sep SF, MOC.â€

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