A reader, Chris P, (following up on this post) recently inquired by email about the specific rules on Market-On-Open orders. In particular, he was interested in the cut-off times for MOO orders. Market-On-Close orders have a cut-off time of 3:40 and 3:50 on the NYSE and Nasdaq, respectively. That is, MOC orders can’t be entered, modified or cancelled after the cut-off.
He pointed me to two documents, one excellent and concise guide to the open and close from the Nasdaq and another relatively useless piece of documentation from the NYSE. The Nasdaq doc indicates that MOO orders must be entered by 9:28am and my own informal experiment confirms this. MOO orders bound for the Nasdaq after 9:28 will be rejected as invalid orders.
The NYSE doc was less precise (didn’t specify any time) and I was able to enter a MOO order after 9:28 which was filled, while orders after the 9:30 open were rejected. If any reader has more precise information or some experiences to share on the topic, kindly use the comments to do so.
execution quality
I’ve been trading an increasing amount at the open and close of the equity markets using market-on-open (MOO) and market-on-close (MOC) order types and have found that the quality of executions varies enormously between the two types and have spent a bit of time analyzing the differences which I share below.
The quick scoop is that MOC orders almost invariably fill at the exchange’s published closing price, while MOOs vary very substantially from the published open price. Below I quantify my findings in a bit greater depth.
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back-testing, execution quality, performance analysis, post-trade analysis, strategy development
While doing some research on the quality and volume of executions at the open and close of US equity markets, I came across two topical research reports by Celent, a finance consultancy. The first report is a detailed look at execution quality on nasdaq issues while the second addresses the same topic for the nyse. An abstract of the first report can be found here and of the second here. Both are interesting enough on their own, though I’ve yet to acquire the full reports.
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dereferenced, execution quality, performance analysis
