Sorry, I don’t know of papers that specifically address market impact on the open or close.

I have some Matlab code written to evaluate the order execution on MOC orders as well as some Opening Gap entries. I think the bigger challenge for me will be to evaluate how to handle MOO & MOC entries in many instruments. Specifically, I would like to be able to say ‘my desired order size will move the market up to reduce my potential profit by x.x%, therefore I should reduce my share size and increase the number of instruments I am trading’. Have you found any academic or other papers that go into this concept at all? I haven’t found too much so far in my search.

Regards,
Eric

Sorry for the delay in responding… I only just noticed these comments. I’m not aware of any “retail level” feeds that provide this level of detail, but I’d expect they exist. The NYSE’s TAQ data certainly can be combed to glean this data though the cost is ~$1K/month and the real cost is hidden in managing the mass of data.

I’d expect that any feed that accurately provides the executing exchange should be adequate as the correct MOO price can be determined where the trade is the first of the day on the “listing” exchange and the MOC price can be similarly determined by finding the last trade of the day from the listing exchange. Yahoo’s data is accurate for the MOC but not the MOO as they seem to be interpreting the first price of the day as the first price after 9:30am on any exchange.

I believe this explains the discrepancy I’d detailed in this post.

Figuring out, for any given feed, if you’re getting the right MOO & MOC prices is easy enough as you just need to trade on the open and close and compare the prices you got to the prices your feed provides.

As for market impact, we never trade more than an analysis of recent MOO/MOC volumes suggests we can reasonably get away with…

Best,

Do you know of any retail level data feeds that provide the primary exchange’s opening price?

Regards,
Eric

Also, I suspect your trade samples include trades with much higher quantities than a retail account. Do you feel this has an impact on the results? I know that one will incur more liquidity costs as the trade size goes up, but have been unable to quantify it.

Regards,
Eric

Good question. I haven’t updated these figures since I wrote this but have thousands more trades of data… one of these days I’ll update the study and post the results. I expect the MOCs to continue to show near 100% performance, but it will be interesting to see how the MOOs have done.

Just a quick question for you – Have these numbers been updated since Aug 1st? I was curious as to whether or not they changed in the past few months due to the increase in volatility.

Regards,
Eric