issue with Lmt Order at Open

[DanielBaeumler]

Yesterday, I bought MCHP for 97.41 matching my Lmt price. However, Open was set to 96.86. In the past, I always got filled with the lower Open price is such cases.

When I look at the Order book, I see 2 line items at market opening: One item with the Open price 96.86 – 23.557 shares. The second line item at the same time with my order: Price 97.41, 92 shares. Quite annoying. The IB guy said that this could be avoided by setting a LOO or MOO order. Anybody experiencing similar issues?

[Nick Radge]

Are you sure they were on market trades? Read this thread to completion:

https://edu.thechartist.com.au/kunena/amibroker-setup/308-nyse-normal-market-hours-request.html

And I would add that one should be a little pragmatic and not make a mountain out of a mole hill. If this was a one-off or reasonably random event, then in the scheme of things, so what. More so if this is part of a higher frequency strategy. It simply will not matter.

If it’s happening 5x a week then yes, there is an issue that needs to be looked into.

[DanielBaeumler]

Of course, this individual case doesn’t matter. I was more concerned whether I missed out on s.th. and e.g. other order types may be more suitable

[Nick Radge]

I can’t see how a LOO or MOO order will help – certainly a MOO will not – it will fill you at any price.

The only possible order that ‘may’ be different is a STOP LMT where you set the LMT price to your normal limit price and set the STP to a level somewhat lower.

Example.

Normal order:

+MCHP @ 97.41 LMT

New Order:

+MCHP @ 96.00 STP LMT 97.41

This way if there is a lower price on open that you don’t participate in, then your order will go to market until it hits 97.41.

The assumption here though is (a) the lower trades were ‘on market’ and (b) there is some volume available between the lower trade and your price.

As I said initially, time & sales will determine whether the print at 96.86 was actually done on market on off market. If it was off market, then you won’t get a fill either way.

[DanielBaeumler]

Thanks, Nick.

[ScottMcNab]

[ScottMcNab]

Based on what I can see there Daniel it may be worth raising a ticket to ask about (did you do this or go through the chat channel) ?

[DanielBaeumler]

Yes, I did and that’s why I brought it up. It just looks odd to me. The IB guy on the chat was not very ‘open’ to my issue. He said, that the order was executed to my Lmt. So, what’s your problem?

I will leave it for now since it’s (hopefully) a one-off event.

[ScottMcNab]

I’ve got some dodgy responses on the chat…when I raise a ticket it takes longer but the response is typically more considered

[DanielBaeumler]

thank’s for the hint. I’ll give it a shot…

[ScottMcNab]

Daniel Baeumler wrote:

Yesterday, I bought MCHP for 97.41 matching my Lmt price. However, Open was set to 96.86. In the past, I always got filled with the lower Open price is such cases.

When I look at the Order book, I see 2 line items at market opening: One item with the Open price 96.86 – 23.557 shares. The second line item at the same time with my order: Price 97.41, 92 shares. Quite annoying. The IB guy said that this could be avoided by setting a LOO or MOO order. Anybody experiencing similar issues?

Can confirm that LOO does not avoid this issue as happened a few times last night in US…fill were not at open price even though were trades on open on the primary exchange below my buy limit order in the time and sales

Checking IB’s definition of limit order, simply says that this will be the maximum will pay when buy stock…does not indicate an obligation to fill at a cheaper price…trying to get my head around stop limit

out of interest, went back and tested MOC and MRV swings systems and changed to
LEPrice = ref(buylimit,-1) instead of
LEPrice = Min(Open,Ref(buylimit,-1)) to try and get idea of potential impact..some ok, some not

[JulianCohen]

I think it’s just the price of doing business. I’m running on the Russell 1000 so there are a few of these. My guess would be there would be a lot less on the S&P500.

I tracked the slippage for a couple of months to see how things were affected. I found a number of cases where I got better fills than the system as well as cases where I didn’t. After a couple of months I stopped tracking it.

It might be a good exercise to do that for a while just to see how your system is affected.

[ScottMcNab]

I did the same for a while and also found it was swings and roundabouts..some helped and some didn’t…the post was regarding LOO orders which Daniel had been told would avoid missing a fill when open was below his buy limit.

[Nick Radge]

From January 27…

Quote:

I can’t see how a LOO or MOO order will help – certainly a MOO will not – it will fill you at any price.

[ScottMcNab]

Yeah..well I thought that meant you were not certain about LOO

[Author]

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